An SDE approximation for stochastic differential delay equations with state-dependent colored noise
dc.citation.epage | 628 | en_US |
dc.citation.issueNumber | 3 | en_US |
dc.citation.spage | 595 | en_US |
dc.citation.volumeNumber | 22 | en_US |
dc.contributor.author | McDaniel, A. | en_US |
dc.contributor.author | Duman, Ö. | en_US |
dc.contributor.author | Volpe, G. | en_US |
dc.contributor.author | Wehr, J. | en_US |
dc.date.accessioned | 2019-02-07T11:14:21Z | |
dc.date.available | 2019-02-07T11:14:21Z | |
dc.date.issued | 2016-11 | en_US |
dc.department | Department of Physics | en_US |
dc.department | Institute of Materials Science and Nanotechnology (UNAM) | en_US |
dc.description.abstract | We 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.provenance | Submitted 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.provenance | Made 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: 2016-11 | en |
dc.identifier.issn | 1024-2953 | |
dc.identifier.uri | http://hdl.handle.net/11693/49020 | |
dc.language.iso | English | en_US |
dc.publisher | Polymat Publishing | en_US |
dc.source.title | Markov Process and Related Fields | en_US |
dc.subject | Stochastic differential equations | en_US |
dc.subject | Stochastic differential delay equations | en_US |
dc.subject | Colored noise | en_US |
dc.subject | Noise-induced drift | en_US |
dc.title | An SDE approximation for stochastic differential delay equations with state-dependent colored noise | en_US |
dc.type | Article | en_US |
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