A new approach to simulating stochastic delayed systems
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Publication:6435599
DOI10.1016/J.MBS.2020.108327arXiv2305.04056WikidataQ89955810 ScholiaQ89955810MaRDI QIDQ6435599FDOQ6435599
Farzad Fatehi, K. B. Blyuss, Y. N. Kyrychko
Publication date: 6 May 2023
Abstract: In this paper we present a new method for deriving It^{o} stochastic delay differential equations (SDDEs) from delayed chemical master equations (DCMEs). Considering alternative formulations of SDDEs that can be derived from the same DCME, we prove that they are equivalent both in distribution, and in sample paths they produce. This allows us to formulate an algorithmic approach to deriving equivalent It^{o} SDDEs with a smaller number of noise variables, which increases the computational speed of simulating stochastic delayed systems. The new method is illustrated on a simple model of two interacting species, and it shows excellent agreement with the results of direct stochastic simulations, while also demonstrating a much superior speed of performance.
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