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

DOI10.20537/VM150407MaRDI QIDQ5266458zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• 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
• Numerical and analytical methods of study of stochastic systems with delay
• Random oscillations in quasilinear systems of stochastic differential equations with delay
• scientific article; zbMATH DE number 589296
• Numerical approximations for nonlinear stochastic systems with delays

Cited in

(7)

• Phase space extension in the analysis of differential-difference systems with random input
• About some schemes of study for systems with different forms of time aftereffect
• Numerical and analytical methods of study of stochastic systems with delay
• A Markov Approach to Nonlinear Multivariate Delay Systems with Noise
• scientific article; zbMATH DE number 780735 (Why is no real title available?)
• A comparison of stochastic systems with different types of delays
• 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

Describes a project that uses

Uses Software

• Mathematica
• bvp4c

This page was built for publication: Stochastic differential equations with random delays in the form of discrete Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5266458)