A semigroup approach to stochastic delay equations in spaces of continuous functions

DOI10.1007/S00233-005-0649-7MaRDI QIDQ2373405zbMATH OpenOpenAlexFDO

Authors Jan van Neerven, M. Riedle

Publication date 19 July 2007

Published in Semigroup Forum (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s00233-005-0649-7

zbMATH Keywords

semigroupstochastic delay equation

Mathematics Subject Classification ID

Functional-differential equations in abstract spaces (34K30) Stochastic functional-differential equations (34K50) One-parameter semigroups and linear evolution equations (47D06) Stochastic integrals (60H05)

Review text

The authors study a linear scalar stochastic delay equation with finite memory and additive Brownian motion. They represent the solution for a given initial condition \(f \in C[-h,0]\) as a \(C[-h,0]\)-valued process arising from a stochastic weak\(^*\)-integral in the bidual \(C[-h,0]^{**}\) and show how this process can be interpreted as a mild solution of an associated abstract Cauchy problem. They also address the question of existence and uniqueness of an invariant measure.

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