Stochastic Mackey-Glass Equations and Other Negative Feedback Systems: Existence of Invariant Measures

Abstract

We study equations like the Mackey-Glass equations and Nicholson's blowflies equation, each perturbed by a (small) multiplicative noise term. Solutions to these stochastic negative feedback systems persist globally and are bounded above in probability under mild assumptions. A non-trivial invariant measure is proved to exist if and only if there is at least one initial condition for which the solution remains bounded away from zero in probability. The noise driving the dynamical system is allowed to be a square integrable Lévy process with finite intensity. Existence of invariant measures is obtained via the Krylov-Bogoliubov method. In addition to our theoretical results, we present numerical simulations identifying the invariant measures obtained via the Krylov-Bogoliubov method and illustrating their connection to the system's long-term behaviour.