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

Austin McDaniel; Ozer Duman; Giovanni Volpe; Jan Wehr

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arXiv · 1406.7287

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

Austin McDaniel·Ozer Duman·Giovanni Volpe·Jan Wehr

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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.

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Austin McDaniel, Ozer Duman, Giovanni Volpe, Jan Wehr. 2016-11-01. An SDE approximation for stochastic differential delay equations with state-dependent colored noise. https://arxiv.org/abs/1406.7287

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