DECAY AND GROWTH RATES OF SOLUTIONS OF SCALAR STOCHASTIC DELAY DIFFERENTIAL EQUATIONS WITH UNBOUNDED DELAY AND STATE DEPENDENT NOISE

Abstract

This paper studies the growth and decay rates of solutions of scalar stochastic delay differential equations of Itô type. The equations studied have a linear drift which contains an unbounded delay term, and a nonlinear diffusion term, which depends on the current state only. We show that when the nonlinearity at zero or infinity is sufficiently weak, the same non-exponential decay and growth rates found in the corresponding underlying linear deterministic equation are recovered, in an almost sure sense.