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

页码：879 / 898

页数：20

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