A small delay and correlation time limit of stochastic differential delay equations with state-dependent colored noise

DOI10.1007/S10955-019-02242-2zbMATH Open1419.82043arXiv1510.05065OpenAlexW3102580080WikidataQ128451850 ScholiaQ128451850MaRDI QIDQ1999405FDOQ1999405

Authors: Scott Hottovy, Austin McDaniel, Jan Wehr 

Publication date: 26 June 2019

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We consider a general stochastic differential delay equation (SDDE) with state-dependent colored noises and derive its limit as the time delays and the correlation times of the noises go to zero. The work is motivated by an experiment involving an electrical circuit with noisy, delayed feedback. An Ornstein-Uhlenbeck process is used to model the colored noise. The main methods used in the proof are a theorem about convergence of solutions of stochastic differential equations by Kurtz and Protter and a maximal inequality for sums of a stationary sequence of random variables by Peligrad and Utev.

Full work available at URL: https://arxiv.org/abs/1510.05065

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zbMATH Keywords

Ornstein-Uhlenbeck processstochastic differential delay equationsnoise-induced driftItô-Stratonovich transition

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (1)

• An SDE approximation for stochastic differential delay equations with state-dependent colored noise

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