Fokker-Planck approach to stochastic delay differential equations.

Steve. Guillouzic
Models written in terms of stochastic delay differential equations (SDDE's) have recently appeared in a number of fields, such as physiology, optics, and climatology. Unfortunately, the development of a Fokker-Planck approach for these equations is being hampered by their non-Markovian nature. In this thesis, an exact Fokker-Planck equation (FPE) is formulated for univariate SDDE's involving Gaussian white noise. Although this FPE is not self-sufficient, it is found to be helpful in at least two different...
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