Fokker-Planck approach to stochastic delay differential equations.

摘要

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 contexts: with a short delay approximation and under an appropriate separation of time scales.; In the short delay approximation, a Taylor expansion is applied to an SDDE with nondelayed diffusion and yields a nondelayed stochastic differential equation. The aforementioned FPE then allows the derivation of an alternate and complementary approximation of the original SDDE. This method is illustrated with linear and logistic SDDE's.; Under the separation of time scales assumption, the FPE of a bistable system is reduced to a form that is uniquely determined by the steady-state probability density when the diffusion term of the SDDE is nondelayed. In the context of an overdamped particle with delayed coupling to a symmetrical and stochastically driven potential, the resulting FPE is used with standard techniques to express the transition rate between wells in terms of the noise amplitude and of the steady-state probability density. The same is also accomplished for the mean first passage time from one point to another. This whole approach is then applied to the case of a quartic potential, for which all realisations eventually stabilise on an oscillatory trajectory with an ever increasing amplitude. Although this latter phenomenon prevents the existence of a steady-state limit, a pseudo-steady-state probability density can be defined and used instead of the non-existent steady-state one when the transition rate to these unbounded oscillatory trajectories is sufficiently small. The transition to this peculiar attractor is investigated in more detail for a family of single-well potentials, and interestingly, the transition rate follows Arrhenius' law when the noise amplitude is small.; Overall, it is found that the Fokker-Planck approach can play a significant role in the analysis of SDDE's.