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 Electronic Journal of Probability > Vol. 15(2010) > Paper 15 open journal systems 


On Existence and Uniqueness of Stationary Distributions for Stochastic Delay Differential Equations with Positivity Constraints

Michael S Kinnally, University of California, San Diego
Ruth J. Williams, University of California, San Diego


Abstract
Deterministic dynamic models with delayed feedback and state constraints arise in a variety of applications in science and engineering. There is interest in understanding what effect noise has on the behavior of such models. Here we consider a multidimensional stochastic delay differential equation with normal reflection as a noisy analogue of a deterministic system with delayed feedback and positivity constraints. We obtain sufficient conditions for existence and uniqueness of stationary distributions for such equations. The results are applied to an example from Internet rate control and a simple biochemical reaction system.


Full text: PDF

Pages: 409-451

Published on: April 28, 2010
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