Stochastic semi-discretization for linear stochastic delay differential equations

Henrik T. Sykora, Daniel Bachrathy, G. Stépán

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

An efficient numerical method is presented to analyze the moment stability and stationary behavior of linear stochastic delay differential equations. The method is based on a special kind of discretization technique with respect to the past effects. The resulting approximate system is a high dimensional linear discrete stochastic mapping. The convergence properties of the method is demonstrated with the help of the stochastic Hayes equation and the stochastic delayed oscillator.

Original languageEnglish
JournalInternational Journal for Numerical Methods in Engineering
DOIs
Publication statusPublished - Jan 1 2019

Fingerprint

Stochastic Delay Differential Equations
Semidiscretization
Convergence of numerical methods
Numerical methods
Differential equations
Convergence Properties
Stochastic Equations
High-dimensional
Discretization
Numerical Methods
Moment

Keywords

  • moment stability
  • stationary solution
  • stochastic dynamical systems
  • time delay

ASJC Scopus subject areas

  • Numerical Analysis
  • Engineering(all)
  • Applied Mathematics

Cite this

Stochastic semi-discretization for linear stochastic delay differential equations. / Sykora, Henrik T.; Bachrathy, Daniel; Stépán, G.

In: International Journal for Numerical Methods in Engineering, 01.01.2019.

Research output: Contribution to journalArticle

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