Moment boundedness of linear stochastic delay differential equations with distributed delay |
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Authors: | Zhen Wang Xiong Li Jinzhi Lei |
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Institution: | 1. School of Mathematical Sciences, Beijing Normal University, Beijing 100875, PR China;2. School of Mathematics, Hefei University of Technology, Hefei 230009, PR China;3. Zhou Pei-Yuan Center for Applied Mathematics, Tsinghua University, Beijing 100084, PR China |
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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. |
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Keywords: | 34K06 34K50 |
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