Matrix numerical method for probability densities of stochastic delay differential equations

DOI10.1088/1751-8121/AD4752MaRDI QIDQ6561869FDOQ6561869

Authors: Nils Antary, Viktor Holubec 

Publication date: 25 June 2024

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

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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)

Cites Work

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

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