Governing equations for probability densities of stochastic differential equations with discrete time delays

DOI10.3934/DCDSB.2017182zbMATH Open1368.60064arXiv1609.03186OpenAlexW2555313907MaRDI QIDQ2364754FDOQ2364754

Authors: Yayun Zheng, Xu Sun 

Publication date: 25 July 2017

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Abstract: The time evolution of probability densities for solutions to stochastic differential equations (SDEs) without delay is usually described by Fokker-Planck equations, which require the adjoint of the infinitesimal generator for the solutions. However, Fokker-Planck equations do not exist for stochastic delay differential equations (SDDEs) because the solutions to SDDEs are not Markov processes and have no corresponding infinitesimal generators. In this paper, we address the open question of finding the governing equations for probability densities of SDDEs with discrete time delays. The governing equation is given in a simple form that facilitates theoretical analysis and numerical computation. An illustrative example is presented to verify the proposed governing equations.

Full work available at URL: https://arxiv.org/abs/1609.03186

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zbMATH Keywords

stochastic differential equationsBrownian motionsstochastic delay differential equationsprobability densitydiscrete-time delay

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50)

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Cited In (9)

• Matrix numerical method for probability densities of stochastic delay differential equations
• Time evolution of probability density in stochastic dynamical systems with time delays: the governing equation and its numerical solution
• Fokker-Planck equations for time-delayed systems via Markovian embedding
• Detecting the maximum likelihood transition path from data of stochastic dynamical systems
• Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
• Governing stochastic equation for a self-similar random process
• Algorithms for linear stochastic delay differential equations
• The maximum likelihood climate change for global warming under the influence of greenhouse effect and Lévy noise
• Mean, covariance, and effective dimension of stochastic distributed delay dynamics

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