Moment boundedness of linear stochastic delay differential equations with distributed delay
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Abstract: This paper studies the moment boundedness of solutions of linear stochastic delay differential equations with distributed delay. For a linear stochastic delay differential equation, the first moment stability is known to be identical to that of the corresponding deterministic delay differential equation. However, boundedness of the second moment is complicated and depends on the stochastic terms. In this paper, the characteristic function of the equation is obtained through techniques of Laplace transform. From the characteristic equation, sufficient conditions for the second moment to be bounded or unbounded are proposed.
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Cited in
(7)- Stochastic semidiscretization method: second moment stability analysis of linear stochastic periodic dynamical systems with delays
- Moment decay rates of stochastic differential equations with time-varying delay
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- Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
- Stability and moment boundedness of the stochastic linear age-structured model
- Second moment boundedness of linear stochastic delay differential equations
- Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
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