  This paper studies the moment boundedness of solutions of linear stochastic
delay differential equations with distributed delay. For a linear stochastic
delay differential equation, the first moment stability is known to be
identical to that of the corresponding deterministic delay differential
equation. However, boundedness of the second moment is complicated and depends
on the stochastic terms. In this paper, the characteristic function of the
equation is obtained through techniques of Laplace transform. From the
characteristic equation, sufficient conditions for the second moment to be
bounded or unbounded are proposed.
