Moment boundedness of linear stochastic delay differential equations with distributed delay

DOI10.1016/J.SPA.2013.09.002MaRDI QIDQ2434494zbMATH OpenOpenAlexFDO

Authors Zhen Wang, Xiong Li, Jinzhi Lei

Publication date 6 February 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1203.4017

zbMATH Keywords

characteristic equationdistributed delaymoment boundednessstochastic delay differential equation

Mathematics Subject Classification ID

Linear functional-differential equations (34K06) Stability theory of functional-differential equations (34K20) Stochastic functional-differential equations (34K50)

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.

Review text

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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Cited in

(8)

• Moment Lyapunov exponent of delay differential equations
• Stability and moment boundedness of the stochastic linear age-structured model
• Second moment boundedness of linear stochastic delay differential equations
• Moment decay rates of stochastic differential equations with time-varying delay
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Dynamics on hepatitis B virus infection in vivo with immune noise and interval delay
• Stochastic semidiscretization method: second moment stability analysis of linear stochastic periodic dynamical systems with delays

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