Exponential growth rate for a singular linear stochastic delay differential equation

Details Exponential growth rate for a singular linear stochastic delay differential equation Exponential growth rate for a singular linear stochastic delay differential equation

2012-01-12

arxiv.org/abs/1201.2599v1

Mathematics

Probability

15 pages

Scientific paper

We establish the existence of a deterministic exponential growth rate for the norm (on an appropriate function space) of the solution of the linear scalar stochastic delay equation dX(t) = X(t-1) dW(t) which does not depend on the initial condition as long as it is not identically zero. Due to the singular nature of the equation this property does not follow from available results on stochastic delay differential equations. The key technique is to establish existence and uniqueness of an invariant measure of the projection of the solution onto the unit sphere in the chosen function space via asymptotic coupling and to prove a Furstenberg-Hasminskii-type formula (like in the finite dimensional case).

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