Moment boundedness of linear stochastic delay differential equations with distributed delay

Zhen Wang, Xiong Li and Jinzhi Lei

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 586-612

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 the Laplace transform. From the characteristic equation, sufficient conditions for the second moment to be bounded or unbounded are proposed.

Keywords: Stochastic delay differential equation; Distributed delay; Moment boundedness (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spa.2013.09.002

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