IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v165y2022ip2s0960077922009985.html
   My bibliography  Save this article

Stochastic delay differential equations: Analysis and simulation studies

Author

Listed:
  • Chendur Kumaran, R.
  • Venkatesh, T.G.
  • Swarup, K.S.

Abstract

Stochastic delay differential equations play an important role in modelling scientific and engineering systems. In this paper the partial differential equation satisfying the time evolution of the probability density function of the state variable governed by the stochastic delay differential equation (SDDE) with additive white noise and coloured noise perturbation is obtained under small time delay and small correlation time approximation using path integral formalism. This partial differential equation reduces to a Fokker–Planck equation for particular linear and non-linear SDDE. Fokker–Planck equation is then solved with reflecting boundary conditions to get the analytical solutions for Stationary Probability Density Function (SPDF). The analytical solutions for SPDF is compared with the SPDF obtained using simulation. Further the Mean First Passage Time (MFPT) of the bistable system is calculated for various values of time delay and noise strength and compared with that of the simulation. The MFPT for the time delayed system for the case of cubic potential driven by Gaussian and Levy noise as well as asymmetric bistable potential driven by a noise and periodic driving force has been investigated.

Suggested Citation

  • Chendur Kumaran, R. & Venkatesh, T.G. & Swarup, K.S., 2022. "Stochastic delay differential equations: Analysis and simulation studies," Chaos, Solitons & Fractals, Elsevier, vol. 165(P2).
    • Handle: RePEc:eee:chsofr:v:165:y:2022:i:p2:s0960077922009985
    DOI: 10.1016/j.chaos.2022.112819
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077922009985
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2022.112819?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hu, Rong, 2020. "Almost sure exponential stability of the Milstein-type schemes for stochastic delay differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    2. Huang, He & Feng, Gang, 2007. "Delay-dependent stability for uncertain stochastic neural networks with time-varying delay," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 93-103.
    3. He, Lingyun & Banihashemi, Seddigheh & Jafari, Hossein & Babaei, Afshin, 2021. "Numerical treatment of a fractional order system of nonlinear stochastic delay differential equations using a computational scheme," Chaos, Solitons & Fractals, Elsevier, vol. 149(C).
    4. Du, Lu-Chun & Mei, Dong-Cheng, 2011. "Stochastic resonance, reverse-resonance and stochastic multi-resonance in an underdamped quartic double-well potential with noise and delay," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3262-3266.
    5. Singh, Ajeet & Shukla, Anurag & Vijayakumar, V. & Udhayakumar, R., 2021. "Asymptotic stability of fractional order (1,2] stochastic delay differential equations in Banach spaces," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    6. Astero Provata & Igor Sokolov & Bernardo Spagnolo, 2008. "Editorial: Ecological complex systems," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(3), pages 307-314, October.
    7. Lee, Min-Ku & Kim, Jeong-Hoon & Kim, Joocheol, 2011. "A delay financial model with stochastic volatility; martingale method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2909-2919.
    8. Wang, Bing & Yin, Zhixiang, 2013. "Effects of colored noise and noise delay on a calcium oscillation system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4203-4209.
    9. Guo, Wei & Wang, Can-Jun & Du, Lu-Chun & Mei, Dong-Cheng, 2013. "Effects of time delay on transport processes in an active Brownian particle," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4210-4215.
    10. Li, Jiang-Cheng & Mei, Dong-Cheng, 2013. "The influences of delay time on the stability of a market model with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 763-772.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Abdelhamid Mohammed Djaouti & Zareen A. Khan & Muhammad Imran Liaqat & Ashraf Al-Quran, 2024. "A Study of Some Generalized Results of Neutral Stochastic Differential Equations in the Framework of Caputo–Katugampola Fractional Derivatives," Mathematics, MDPI, vol. 12(11), pages 1-20, May.
    2. Ausloos, Marcel & Eskandary, Ali & Kaur, Parmjit & Dhesi, Gurjeet, 2019. "Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 527(C).
    3. Wei, Yu, 2012. "Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5546-5556.
    4. Song, Qiankun & Wang, Zidong, 2008. "Stability analysis of impulsive stochastic Cohen–Grossberg neural networks with mixed time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3314-3326.
    5. Gao, Shuaibin & Li, Xiaotong & Liu, Zhuoqi, 2023. "Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence," Applied Mathematics and Computation, Elsevier, vol. 458(C).
    6. Lin, Yi-Kuei, 2010. "Reliability evaluation of a revised stochastic flow network with uncertain minimum time," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1253-1258.
    7. Feng, Wei & Yang, Simon X. & Fu, Wei & Wu, Haixia, 2009. "Robust stability analysis of uncertain stochastic neural networks with interval time-varying delay," Chaos, Solitons & Fractals, Elsevier, vol. 41(1), pages 414-424.
    8. Shukla, Anurag & Vijayakumar, V. & Nisar, Kottakkaran Sooppy, 2022. "A new exploration on the existence and approximate controllability for fractional semilinear impulsive control systems of order r∈(1,2)," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
    9. Lu Zhang & Caishi Wang & Jinshu Chen, 2023. "Interacting Stochastic Schrödinger Equation," Mathematics, MDPI, vol. 11(6), pages 1-16, March.
    10. Amr Abosenna & Ghada AlNemer & Boping Tian, 2024. "Convergence and Almost Sure Polynomial Stability of Partially Truncated Split-Step Theta Method for Stochastic Pantograph Models with Lévy Jumps," Mathematics, MDPI, vol. 12(13), pages 1-16, June.
    11. Pharunyou Chanthorn & Grienggrai Rajchakit & Jenjira Thipcha & Chanikan Emharuethai & Ramalingam Sriraman & Chee Peng Lim & Raja Ramachandran, 2020. "Robust Stability of Complex-Valued Stochastic Neural Networks with Time-Varying Delays and Parameter Uncertainties," Mathematics, MDPI, vol. 8(5), pages 1-19, May.
    12. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
    13. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
    14. R. Sakthivel & R. Samidurai & S. M. Anthoni, 2010. "Asymptotic Stability of Stochastic Delayed Recurrent Neural Networks with Impulsive Effects," Journal of Optimization Theory and Applications, Springer, vol. 147(3), pages 583-596, December.
    15. A Chunxiang & Shao Yi, 2018. "Worst-Case Investment Strategy with Delay," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 35-57, February.
    16. Cao, Wenping & Zhu, Quanxin, 2022. "Stability of stochastic nonlinear delay systems with delayed impulses," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    17. Gautam, Pooja & Shukla, Anurag, 2023. "Stochastic controllability of semilinear fractional control differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
    18. Shu, Huisheng & Wang, Zidong & Lü, Zengwei, 2009. "Global asymptotic stability of uncertain stochastic bi-directional associative memory networks with discrete and distributed delays," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(3), pages 490-505.
    19. Liu, Jiamin & Li, Zhao-Yan & Deng, Feiqi, 2021. "Asymptotic behavior analysis of Markovian switching neutral-type stochastic time-delay systems," Applied Mathematics and Computation, Elsevier, vol. 404(C).
    20. Liu, Xiwei & Chen, Tianping, 2008. "Robust μ -stability for uncertain stochastic neural networks with unbounded time-varying delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2952-2962.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:165:y:2022:i:p2:s0960077922009985. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.