Delay differential equations driven by Lévy processes: stationarity and Feller properties

DOI10.1016/J.SPA.2006.03.002MaRDI QIDQ855685zbMATH OpenOpenAlexFDO

Authors O. W. van Gaans, Markus Reiß, M. Riedle

Publication date 7 December 2006

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

Full work available at URL https://arxiv.org/abs/math/0505684, http://eprints.maths.manchester.ac.uk/906/1/Delay_Differential.pdf

zbMATH Keywords

invariant measureFeller processstochastic functional differential equationsemimartingale characteristicsStochastic equation with delay

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50)

Abstract: We consider a stochastic delay differential equation driven by a general Levy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is eventually Feller, but in general not eventually strong Feller on the Skorokhod space. The existence of an invariant measure is shown by proving tightness of the segments using semimartingale characteristics and the Krylov-Bogoliubov method. A counterexample shows that the stationary solution in completely general situations may not be unique, but in more specific cases uniqueness is established.

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