• Bulletin of the Korean Mathematical Society
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• v.56 no.5
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• pp.1129-1141
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• 2019

We propose a stochastic delay financial model which describes influences driven by historical events. The underlying is modeled by stochastic delay differential equation (SDDE), and the delay effect is modeled by a stopping time in coefficient functions. While this model makes good economical sense, it is difficult to mathematically deal with this. Therefore, we circumvent this model with similar delay effects but mathematically more tractable, which is by the backward time integration. We derive the option pricing equation and provide the option price and the perfect hedging portfolio.

• Journal of applied mathematics & informatics
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• v.34 no.5_6
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• pp.421-434
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• 2016

The main aim of this paper is to discuss the difference between the Euler-Maruyama's approximate solutions and the accurate solution to stochastic differential delay equation. To make the theory more understandable, we impose the non-uniform Lipschitz condition and weakened linear growth condition. Furthermore, we give the pth moment continuous of the approximate solution for the delay equation.

• Journal of applied mathematics & informatics
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• v.14 no.1_2
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• pp.319-328
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• 2004

In this paper we investigate the qualitative behaviour of numerical approximation to a class delay differential equation. We consider the numerical solution of the delay differential equations undergoing a Hopf bifurcation. We prove the numerical approximation of delay differential equation had a Hopf bifurcation point if the true solution does.

• International Journal of Control, Automation, and Systems
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• v.2 no.4
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• pp.501-508
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• 2004

A new method to solve a Lyapunov equation for a discrete delay system is proposed. Using this method, a Lyapunov equation can be solved from a simple linear equation and N-th power of a constant matrix, where N is the state delay. Combining a Lyapunov equation and frequency domain stability, a new stability condition is proposed for a discrete state delay system whose state delay is not exactly known but only known to lie in a certain interval.

• Journal of applied mathematics & informatics
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• v.28 no.1_2
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• pp.49-58
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• 2010

In the present article we consider the diffusive Nicholson's blowflies equation with nonlocal delay incorporated into an integral convolution over all the past time and the whole infinite spatial domain $\mathbb{R}$. When the kernel function takes a special function, we construct a pair of lower and upper solutions of the corresponding travelling wave equation and obtain the existence of travelling fronts according to the existence result of travelling wave front solutions for reaction diffusion systems with nonlocal delays developed by Wang, Li and Ruan (J. Differential Equations, 222(2006), 185-232).

• 제어로봇시스템학회:학술대회논문집
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• 1999.10a
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• pp.112-115
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• 1999

A new method to solve a Lyapunov equation for a discrete delay system is proposed. Using this method, a Lyapunov equation can be solved from a simple linear equation and N-th power of a constant matrix, where N is the state delay. Combining a Lyapunov equation and frequency domain stability, a new stability condition is proposed. The proposed stability condition ensures stability of a discrete state delay system whose state delay is not exactly known but only known to lie in a certain interval.

• Journal of applied mathematics & informatics
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• v.19 no.1_2
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• pp.281-295
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• 2005

The purpose of this paper is to study a class of delay differential equations with two delays. First, we consider the existence of periodic solutions for some delay differential equations. Second, we investigate the local stability of the zero solution of the equation by analyzing the corresponding characteristic equation of the linearized equation. The exponential stability of a perturbed delay differential system with a bounded lag is studied. Finally, by choosing one of the delays as a bifurcation parameter, we show that the equation exhibits Hopf and saddle-node bifurcations.

• Kyungpook Mathematical Journal
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• v.47 no.3
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• pp.425-438
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• 2007

In this paper, we establish some new oscillation criteria for a second-order delay dynamic equation $$u^{{\Delta}{\Delta}}(t)+p(t)u(\tau(t))=0$$ on a time scale $\mathbb{T}$. The results can be applied on differential equations when $\mathbb{T}=\mathbb{R}$, delay difference equations when $\mathbb{T}=\mathbb{N}$ and for delay $q$-difference equations when $\mathbb{T}=q^{\mathbb{N}}$ for q > 1.

• Journal of applied mathematics & informatics
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• v.11 no.1_2
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• pp.243-253
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• 2003

In this paper, oscillation and stability of nonlinear neutral impulsive delay differential equation are studied. The main result of this paper is that oscillation and stability of nonlinear impulsive neutral delay differential equations are equivalent to oscillation and stability of corresponding nonimpulsive neutral delay differential equations. At last, two examples are given to illustrate the importance of this study.

• Journal of applied mathematics & informatics
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• v.7 no.2
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• pp.641-652
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• 2000

In this paper we will survey the recent results about oscillation and asymptotic behavior for the linear differential equation with a single delay x'9t)+p(t)x(t-r)=0, $t\geqt_1$.