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
12345