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arXiv · 2501.00141

Existence of Invariant Probability Measures for Stochastic Differential Equations with Finite Time Delay

Mark van den Bosch·Onno van Gaans·Sjoerd Verduyn Lunel
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Abstract

We provide sufficient conditions for the existence of invariant probability measures for generic stochastic differential equations with finite time delay. This is achieved by means of the Krylov-Bogoliubov method. Furthermore, we focus on stochastic delay equations whose deterministic coefficient satisfies a one-sided bound, which enables us to show that boundedness in probability of a solution $X(t)$ entails boundedness in probability of its solution segment $X_t$. This implies that for a large set of systems, we can infer that an invariant measure exists if only there is at least one solution that is bounded in probability. Applications include, but are not limited to, the stochastic Mackey-Glass equations and the stochastic Wright's equation. The noise driving the dynamical system is allowed to be an integrable L\'evy process.

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Mark van den Bosch, Onno van Gaans, Sjoerd Verduyn Lunel. 2024-12-30. Existence of Invariant Probability Measures for Stochastic Differential Equations with Finite Time Delay. https://arxiv.org/abs/2501.00141

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