A Solution of Non-Linear Stochastic Delay Differential Equation
on Asset Values for Capital Market Prices

Amadi; I. U.  Tamunotonye; R.; Azor P.A

doi:https://doi.org/10.56201/ijasmt.v9.no2.2023.pg30.43

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A Solution of Non-Linear Stochastic Delay Differential Equation on Asset Values for Capital Market Prices

Amadi,I. U. Tamunotonye, R., and Azor P.A

Abstract

The effect of time delay on the solution of Non-linear Stochastic Delay Differential Equation (SDDE) is considered. The problem were solved analytical by the method of Ito’s to obtain a solution which gave birth to two additional solutions by the change of initial closing stock prices under multiplicative effects rate of returns. More so, various statistical tests were obtained effectively. To this end, the influences of the relevant parameters of stochastic quantities were all discussed in this paper.

Keywords

Stochastic Analysis Asset valueMultiplicative effectsand SDDE

References

Okoroafor, A. C. and Osu, B. O. (2009). An Empirical Optimal Portfolio Selection Model. African Journal of Mathematics and Computer Science Research, vol. 2(1), 1- 5. Osu, B. O. (2010). A Stochastic Model of the variation of the Capital Market Price. International Journal of Trade, Economics and Finance. 1,3,297-302. Browne, S. (1995). Optimal Investment Policies for a Firm with a Random Risk Process Exponential Utility and Minimizing the Probability of Ruin. Mathematics of Operations Research Vol. 20,4,937-958.

A Solution of Non-Linear Stochastic Delay Differential Equation on Asset Values for Capital Market Prices

Abstract

Keywords

References

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