Moment boundedness of linear stochastic delay differential equations with distributed delay (Q2434494)
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scientific article
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| English | Moment boundedness of linear stochastic delay differential equations with distributed delay |
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Moment boundedness of linear stochastic delay differential equations with distributed delay (English)
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6 February 2014
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The authors study scalar linear stochastic differential equations driven by standard Brownian motion in which the delay kernel is the same in the drift and the diffusion. They provide sufficient conditions for second moment stability and instability in terms of the coefficients. The main tool is a detailed study of an associated characteristic equation.
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stochastic delay differential equation
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distributed delay
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moment boundedness
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characteristic equation
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0.9341574311256408
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0.8072941303253174
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0.8008325695991516
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0.7834751009941101
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