Matrix numerical method for probability densities of stochastic delay differential equations

DOI10.1088/1751-8121/AD4752MaRDI QIDQ6561869zbMATH OpenFDO

Authors Nils Antary, Viktor Holubec

Publication date 25 June 2024

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

numerical methodsnumerical algorithmstochastic delay differential equationsprobability densitynon-Markovian dynamicstransition rates

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Cucker-Smale model with finite speed of information propagation: well-posedness, flocking and mean-field limit
• Introduction to the numerical analysis of stochastic delay differential equations
• Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
• Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Oscillation and chaos in physiological control systems
• Stochastic delay differential equations for genetic regulatory networks
• Stochastic systems with time delay. Probabilistic and thermodynamic descriptions of non-Markovian processes far from equilibrium
• The time-delayed inverted pendulum: implications for human balance control
• Time evolution of probability density in stochastic dynamical systems with time delays: the governing equation and its numerical solution

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