An SDE approximation for stochastic differential delay equations with state-dependent colored noise

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dc.citation.epage628en_US
dc.citation.issueNumber3en_US
dc.citation.spage595en_US
dc.citation.volumeNumber22en_US
dc.contributor.authorMcDaniel, A.en_US
dc.contributor.authorDuman, Ö.en_US
dc.contributor.authorVolpe, G.en_US
dc.contributor.authorWehr, J.en_US
dc.date.accessioned2019-02-07T11:14:21Z
dc.date.available2019-02-07T11:14:21Z
dc.date.issued2016-11en_US
dc.departmentDepartment of Physicsen_US
dc.departmentInstitute of Materials Science and Nanotechnology (UNAM)en_US
dc.description.abstractWe consider a general multidimensional stochastic differential delay equation (SDDE) with state-dependent colored noises. We approximate it by a stochastic differential equation (SDE) system and calculate its limit as the time delays and the correlation times of the noises go to zero. The main result is proven using a theorem about convergence of stochastic integrals by Kurtz and Protter. It formalizes and extends a result that has been obtained in the analysis of a noisy electrical circuit with delayed state-dependent noise, and may be used as a working SDE approximation of an SDDE modeling a real system where noises are correlated in time and whose response to noise sources depends on the system's state at a previous time.en_US
dc.description.provenanceSubmitted by Taner Korkmaz (tanerkorkmaz@bilkent.edu.tr) on 2019-02-07T11:14:21Z No. of bitstreams: 1 An_SDE_Approximation_for_Stochastic_Differential_Delay_Equations_with_State-Dependent_Colored_Noise.pdf: 422352 bytes, checksum: 902b69ad85bca0066dfe002509f41a98 (MD5)en
dc.description.provenanceMade available in DSpace on 2019-02-07T11:14:21Z (GMT). No. of bitstreams: 1 An_SDE_Approximation_for_Stochastic_Differential_Delay_Equations_with_State-Dependent_Colored_Noise.pdf: 422352 bytes, checksum: 902b69ad85bca0066dfe002509f41a98 (MD5) Previous issue date: 2016-11en
dc.identifier.issn1024-2953
dc.identifier.urihttp://hdl.handle.net/11693/49020
dc.language.isoEnglishen_US
dc.publisherPolymat Publishingen_US
dc.source.titleMarkov Process and Related Fieldsen_US
dc.subjectStochastic differential equationsen_US
dc.subjectStochastic differential delay equationsen_US
dc.subjectColored noiseen_US
dc.subjectNoise-induced driften_US
dc.titleAn SDE approximation for stochastic differential delay equations with state-dependent colored noiseen_US
dc.typeArticleen_US

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