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math.PR2014
An SDE approximation for stochastic differential delay equations with state-dependent colored noise
Austin McDaniel, Ozer Duman, Giovanni Volpe +1
We consider a general multidimensional stochastic differential delay equation (SDDE) with state-dependent colored noises. We approximate it by a stochastic differential equation (S…
math-ph2014★ 99 cited
The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction
Scott Hottovy, Austin McDaniel, Giovanni Volpe +1
We study a class of systems of stochastic differential equations describing diffusive phenomena. The Smoluchowski-Kramers approximation is used to describe their dynamics in the sm…