November  2014, 19(9): 2963-2991. doi: 10.3934/dcdsb.2014.19.2963

Second moment boundedness of linear stochastic delay differential equations

1. 

School of Mathematics, Hefei University of Technology, Hefei 230009, China

2. 

School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China

3. 

Zhou Pei-Yuan Center for Applied Mathematics, MOE Key Laboratory of Bioinformatics, Tsinghua University, Beijing, 100084

Received  July 2013 Revised  March 2014 Published  September 2014

This paper studies the second moment boundedness of solutions of linear stochastic delay differential equations. First, we give a framework--for general $\mathrm{N}$-dimensional linear stochastic differential equations with a single discrete delay--of calculating the characteristic function for the second moment boundedness. Next, we apply the proposed framework to a specific case of a type of $2$-dimensional equation that the stochastic terms are decoupled. For the $2$-dimensional equation, we obtain the characteristic function that is explicitly given by equation coefficients, and the characteristic function gives sufficient conditions for the second moment to be bounded or unbounded.
Citation: Zhen Wang, Xiong Li, Jinzhi Lei. Second moment boundedness of linear stochastic delay differential equations. Discrete & Continuous Dynamical Systems - B, 2014, 19 (9) : 2963-2991. doi: 10.3934/dcdsb.2014.19.2963
References:
[1]

J. A. D. Appleby, X. Mao and H. Wu, On the almost sure running maxima of solutions of affine stochastic functional differential equations,, Siam J. Math. Anal., 42 (2010), 646. doi: 10.1137/080738404. Google Scholar

[2]

O. Arino, M. L. Hbid and E. Ait Dads, Delay Differential Equations and Applications,, Proceedings of the NATO Advanced Study Institute held at the Cadi Ayyad University, (2002). doi: 10.1007/1-4020-3647-7. Google Scholar

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R. Bellman and K. L. Cooke, Differential-Difference Equations,, Academic, (1963). Google Scholar

[4]

T. Caraballo, J. Duan, K. Lu and B. Schmalfuß, Invariant manifolds for random and stochastic partial differential equations,, Advanced Nonlinear Studies, 10 (2010), 23. Google Scholar

[5]

J. Duan, K. Lu, and B. Schmalfuß, Smooth stable and unstable manifolds for stochastic evolutionary equations,, J. Dynam. and Diff. Eqns., 16 (2004), 949. doi: 10.1007/s10884-004-7830-z. Google Scholar

[6]

J. K. Hale and S. M. Verduyn Lunel, Introduction to Functional Differential Equations,, Springer Press, (1993). doi: 10.1007/978-1-4612-4342-7. Google Scholar

[7]

K. Itô and M. Nisio, On stationary solutions of a stochastic differential equations,, J. Math. Kyoto Univ., 4 (1964), 1. Google Scholar

[8]

A. F. Ivanov, Y. I. Kazmerchuk and A. V. Swishchuk, Theory, stochastic stability and applications of stochastic delay differential equations: A survey of results,, Differential Equations Dynamical Systems, 11 (2003), 55. Google Scholar

[9]

J. Lei and M. C. Mackey, Stochastic differential delay equation, Moment stability and its application to the hamatopoietic stem cell regulation system,, SIAM J. Appl. Math., 67 (2007), 387. doi: 10.1137/060650234. Google Scholar

[10]

M. C. Mackey and I. G. Nechaeva, Noise and stability in differential delay equations,, J. Dynam. and Diff. Eqns., 6 (1994), 395. doi: 10.1007/BF02218856. Google Scholar

[11]

M. C. Mackey and I. G. Nechaeva, Solution moment stability in stochastic differential delay equations,, Phs. Rev. E, 52 (1995), 3366. doi: 10.1103/PhysRevE.52.3366. Google Scholar

[12]

X. Mao, Stochastic Differential Equations and Their Applications,, Horwood Publishing, (1997). Google Scholar

[13]

X. Mao and S. Sabanis, Numerical solutions of stochastic differential delay equations under local Lipschitz condition,, J. Comput. Appl. Math., 151 (2003), 215. doi: 10.1016/S0377-0427(02)00750-1. Google Scholar

[14]

X. Mao, Attraction, stability and boundedness for stochastic differential delay equations,, Nonlinear Analysis, 47 (2001), 4795. doi: 10.1016/S0362-546X(01)00591-0. Google Scholar

[15]

X. Mao and M. J. Rassias, Khasminskii-type theorems for stochastic differential delay equations,, Stoch. Anal. Appl., 23 (2005), 1045. doi: 10.1080/07362990500118637. Google Scholar

[16]

X. Mao and M. J. Rassias, Almost sure asymptotic estimations for solutions of stochastic differential delay equations,, Int. J. Appl. Math. Stat., 9 (2007), 95. Google Scholar

[17]

S.-E. A. Mohammed, Stochastic Functional Differential Equations,, Res. Notes in Math. 99, (1984). Google Scholar

[18]

S.-E. A. Mohammed and M. K. R. Scheutzow, The stable manifold theorem for non-linear stochastic systems with memory. I. Existence of the semiflow,, J. Funct. Anal., 205 (2003), 271. doi: 10.1016/j.jfa.2002.04.001. Google Scholar

[19]

S.-E. A. Mohammed and M. K. R. Scheutzow, The stable manifold theorem for non-linear stochastic systems with memory II. The local stable manifold theorem,, J. Funct. Anal., 206 (2004), 253. doi: 10.1016/j.jfa.2003.06.002. Google Scholar

[20]

Z. Wang, X. Li and J. Lei, Moment boundedness of linear stochastic differential equations,, Stoch. Proc. Appl., 124 (2014), 586. doi: 10.1016/j.spa.2013.09.002. Google Scholar

show all references

References:
[1]

J. A. D. Appleby, X. Mao and H. Wu, On the almost sure running maxima of solutions of affine stochastic functional differential equations,, Siam J. Math. Anal., 42 (2010), 646. doi: 10.1137/080738404. Google Scholar

[2]

O. Arino, M. L. Hbid and E. Ait Dads, Delay Differential Equations and Applications,, Proceedings of the NATO Advanced Study Institute held at the Cadi Ayyad University, (2002). doi: 10.1007/1-4020-3647-7. Google Scholar

[3]

R. Bellman and K. L. Cooke, Differential-Difference Equations,, Academic, (1963). Google Scholar

[4]

T. Caraballo, J. Duan, K. Lu and B. Schmalfuß, Invariant manifolds for random and stochastic partial differential equations,, Advanced Nonlinear Studies, 10 (2010), 23. Google Scholar

[5]

J. Duan, K. Lu, and B. Schmalfuß, Smooth stable and unstable manifolds for stochastic evolutionary equations,, J. Dynam. and Diff. Eqns., 16 (2004), 949. doi: 10.1007/s10884-004-7830-z. Google Scholar

[6]

J. K. Hale and S. M. Verduyn Lunel, Introduction to Functional Differential Equations,, Springer Press, (1993). doi: 10.1007/978-1-4612-4342-7. Google Scholar

[7]

K. Itô and M. Nisio, On stationary solutions of a stochastic differential equations,, J. Math. Kyoto Univ., 4 (1964), 1. Google Scholar

[8]

A. F. Ivanov, Y. I. Kazmerchuk and A. V. Swishchuk, Theory, stochastic stability and applications of stochastic delay differential equations: A survey of results,, Differential Equations Dynamical Systems, 11 (2003), 55. Google Scholar

[9]

J. Lei and M. C. Mackey, Stochastic differential delay equation, Moment stability and its application to the hamatopoietic stem cell regulation system,, SIAM J. Appl. Math., 67 (2007), 387. doi: 10.1137/060650234. Google Scholar

[10]

M. C. Mackey and I. G. Nechaeva, Noise and stability in differential delay equations,, J. Dynam. and Diff. Eqns., 6 (1994), 395. doi: 10.1007/BF02218856. Google Scholar

[11]

M. C. Mackey and I. G. Nechaeva, Solution moment stability in stochastic differential delay equations,, Phs. Rev. E, 52 (1995), 3366. doi: 10.1103/PhysRevE.52.3366. Google Scholar

[12]

X. Mao, Stochastic Differential Equations and Their Applications,, Horwood Publishing, (1997). Google Scholar

[13]

X. Mao and S. Sabanis, Numerical solutions of stochastic differential delay equations under local Lipschitz condition,, J. Comput. Appl. Math., 151 (2003), 215. doi: 10.1016/S0377-0427(02)00750-1. Google Scholar

[14]

X. Mao, Attraction, stability and boundedness for stochastic differential delay equations,, Nonlinear Analysis, 47 (2001), 4795. doi: 10.1016/S0362-546X(01)00591-0. Google Scholar

[15]

X. Mao and M. J. Rassias, Khasminskii-type theorems for stochastic differential delay equations,, Stoch. Anal. Appl., 23 (2005), 1045. doi: 10.1080/07362990500118637. Google Scholar

[16]

X. Mao and M. J. Rassias, Almost sure asymptotic estimations for solutions of stochastic differential delay equations,, Int. J. Appl. Math. Stat., 9 (2007), 95. Google Scholar

[17]

S.-E. A. Mohammed, Stochastic Functional Differential Equations,, Res. Notes in Math. 99, (1984). Google Scholar

[18]

S.-E. A. Mohammed and M. K. R. Scheutzow, The stable manifold theorem for non-linear stochastic systems with memory. I. Existence of the semiflow,, J. Funct. Anal., 205 (2003), 271. doi: 10.1016/j.jfa.2002.04.001. Google Scholar

[19]

S.-E. A. Mohammed and M. K. R. Scheutzow, The stable manifold theorem for non-linear stochastic systems with memory II. The local stable manifold theorem,, J. Funct. Anal., 206 (2004), 253. doi: 10.1016/j.jfa.2003.06.002. Google Scholar

[20]

Z. Wang, X. Li and J. Lei, Moment boundedness of linear stochastic differential equations,, Stoch. Proc. Appl., 124 (2014), 586. doi: 10.1016/j.spa.2013.09.002. Google Scholar

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