Stochastic differential equations with random delays in the form of discrete Markov chains

DOI10.20537/VM150407zbMATH Open1366.65004OpenAlexW2504126234MaRDI QIDQ5266458FDOQ5266458

Authors: Igor E. Poloskov 

Publication date: 6 June 2017

Published in: Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp'yuternye Nauki (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vuu504

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zbMATH Keywords

Monte Carlomodelingnumerical examplerandom delaystochastic differential equationsstochastic dynamic systemstate vectordiscrete Markov chaintransition process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (7)

• Numerical and analytical methods of study of stochastic systems with delay
• A Markov Approach to Nonlinear Multivariate Delay Systems with Noise
• About some schemes of study for systems with different forms of time aftereffect
• A comparison of stochastic systems with different types of delays
• Phase space extension in the analysis of differential-difference systems with random input
• Title not available (Why is that?)
• Combination of the method of steps and an expansion of the state space for analyzing linear stochastic systems with various forms of delays and random inputs in the form of additive and multiplicative white noises

Uses Software

• Mathematica
• bvp4c

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