Kramers-Moyal expansion for stochastic differential equations with single and multiple delays: Applications to financial physics and neurophysics

摘要

We present a generalized Kramers-Moyal expansion for stochastic differential equations with single and multiple delays. In particular, we show that the delay Fokker-Planck equation derived earlier in the literature is a special case of the proposed Kramers-Moyal expansion. Applications for bond pricing and a self-inhibitory neuron model are discussed. (c) 2006 Elsevier B.V. All rights reserved.