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

discrete Markov chainmodelingMonte Carlonumerical examplerandom delaystate vectorstochastic differential equationsstochastic dynamic systemtransition process

Mathematics Subject Classification ID

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

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Cited in

(7)

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

Describes a project that uses

Uses Software

• Mathematica
• bvp4c

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