Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527247 | Stochastic Processes and their Applications | 2014 | 27 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Zhen Wang, Xiong Li, Jinzhi Lei,