Moment Boundedness of Linear Stochastic Delay Differential Equation

Details Moment Boundedness of Linear Stochastic Delay Differential Equation Moment Boundedness of Linear Stochastic Delay Differential Equation

2012-03-19

arxiv.org/abs/1203.4017v1

Mathematics

Classical Analysis and ODEs

38 pages, 2 figures

Scientific paper

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.

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