Moment boundedness of linear stochastic delay differential equations with distributed delay

DOI10.1016/J.SPA.2013.09.002zbMATH Open1316.34082arXiv1203.4017OpenAlexW2027274404MaRDI QIDQ2434494FDOQ2434494

Authors: Zhen Wang, Xiong Li, Jinzhi Lei 

Publication date: 6 February 2014

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

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.

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

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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)

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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
• Moment Lyapunov exponent of delay differential equations
• 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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