Matrix numerical method for probability densities of stochastic delay differential equations

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F24%3A10491343" target="_blank" >RIV/00216208:11320/24:10491343 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=4_.mXFIcbd" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=4_.mXFIcbd</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1088/1751-8121/ad4752" target="_blank" >10.1088/1751-8121/ad4752</a>

Result language

angličtina

Original language name

Matrix numerical method for probability densities of stochastic delay differential equations

Original language description

Stochastic processes with time delay are invaluable for modeling in science and engineering when finite signal transmission and processing speeds can not be neglected. However, they can seldom be treated with sufficient precision analytically if the corresponding stochastic delay differential equations (SDDEs) are nonlinear. This work presents a numerical algorithm for calculating the probability densities of processes described by nonlinear SDDEs. The algorithm is based on Markovian embedding and solves the problem by basic matrix operations. We validate it for a broad class of parameters using exactly solvable linear SDDEs and a cubic SDDE. Besides, we show how to apply the algorithm to calculate transition rates and first passage times for a Brownian particle diffusing in a time-delayed cusp potential.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10300 - Physical sciences

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Physics A: Mathematical and Theoretical

ISSN

1751-8113

e-ISSN

1751-8121

Volume of the periodical

57

Issue of the periodical within the volume

23

Country of publishing house

GB - UNITED KINGDOM

Number of pages

23

Pages from-to

235001

UT code for WoS article

001248915600001

EID of the result in the Scopus database

2-s2.0-85195561021