Stochastic semi-discretization for linear stochastic delay differential equations

被引：15
|
作者：
Sykora, Henrik T. [1 ]
Bachrathy, Daniel [1 ]
Stepan, Gabor [1 ]
机构：
[1] Budapest Univ Technol & Econ, Dept Appl Mech, Muegyet Rkp 5, H-1521 Budapest, Hungary
来源：
INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN ENGINEERING | 2019年 / 119卷 / 09期
基金：
欧洲研究理事会;
关键词：
moment stability; stationary solution; stochastic dynamical systems; time delay; MOMENT STABILITY;
D O I：
10.1002/nme.6076
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
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.
引用
收藏
页码：879 / 898
页数：20
相关论文
共 50 条
  • [21] Discretization of jump stochastic differential equations in terms of multiple stochastic integrals
    Li, CW
    Wu, SC
    Liu, XQ
    JOURNAL OF COMPUTATIONAL MATHEMATICS, 1998, 16 (04) : 375 - 384
  • [22] On the semi-discretization method for feedback control design of linear systems with time delay
    Elbeyli, O
    Sun, JQ
    JOURNAL OF SOUND AND VIBRATION, 2004, 273 (1-2) : 429 - 440
  • [23] EXISTENCE OF SOLUTIONS AND SEMI-DISCRETIZATION FOR PDE WITH INFINITE DELAY
    Piriadarshani, D.
    Sengadir, T.
    DIFFERENTIAL EQUATIONS & APPLICATIONS, 2015, 7 (03): : 313 - 331
  • [24] Geometry of stochastic delay differential equations
    Catuogno, PJ
    Ruffino, PRC
    ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2005, 10 : 190 - 195
  • [25] On delay estimation for stochastic differential equations
    Kutoyants, YA
    STOCHASTICS AND DYNAMICS, 2005, 5 (02) : 333 - 342
  • [26] STABILITY OF STOCHASTIC DIFFERENTIAL DELAY EQUATIONS
    SOPRONYUK, FO
    TSARKOV, EF
    DOPOVIDI AKADEMII NAUK UKRAINSKOI RSR SERIYA A-FIZIKO-MATEMATICHNI TA TECHNICHNI NAUKI, 1973, (04): : 347 - 350
  • [27] On stochastic differential equations with random delay
    Krapivsky, P. L.
    Luck, J. M.
    Mallick, K.
    JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 2011,
  • [28] MIXED STOCHASTIC DELAY DIFFERENTIAL EQUATIONS
    Shevchenko, G.
    THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, 2013, 89 : 167 - 180
  • [29] Oscillation in a nonuniform discretisation of linear stochastic differential equations with vanishing delay
    Appleby, J. A. D.
    Kelly, C.
    DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES A-MATHEMATICAL ANALYSIS, 2006, 13 : 535 - 550
  • [30] Stability of linear stochastic delay differential equations with infinite Markovian switchings
    Song, Ruili
    Zhu, Quanxin
    INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, 2018, 28 (03) : 825 - 837
12345