On the almost sure running maxima of solutions of affine neutral stochastic functional differential equations

Abstract

This paper studies the large fluctuations of solutions of finite--dimensional affine stochastic neutral functional differential equations with finite memory, as well as related nonlinear equations. We find conditions under which the exact almost sure growth rate of the running maximum of each component of the system can be determined, both for affine and nonlinear equations. The proofs exploit the fact that an exponentially decaying fundamental solution of the underlying deterministic equation is sufficient to ensure that the solution of the affine equation converges to a stationary Gaussian process.