An SDE Approximation for Stochastic Differential Delay Equations with State-Dependent Colored Noise

作者：McDaniel A^*; Duman O; Volpe G; Wehr J

来源：Markov Processes and Related Fields, 2016, 22(3): 595-628.

• stochastic differential equations
• stochastic differential delay equations
• colored noise
• noise-induced drift

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.

• 出版日期2016