  We consider a stochastic delay differential equation driven by a general Levy
process. Both, the drift and the noise term may depend on the past, but only
the drift term is assumed to be linear. We show that the segment process is
eventually Feller, but in general not eventually strong Feller on the Skorokhod
space. The existence of an invariant measure is shown by proving tightness of
the segments using semimartingale characteristics and the Krylov-Bogoliubov
method. A counterexample shows that the stationary solution in completely
general situations may not be unique, but in more specific cases uniqueness is
established.
