Regensburg 2004 – wissenschaftliches Programm

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DY: Dynamik und Statistische Physik

DY 14: Solitons and Stochastic Dynamics

DY 14.3: Vortrag

Montag, 8. März 2004, 15:00–15:15, H2

On a Fokker-Planck perspective of stochastic systems with delay — •Till Frank — Institute for Theoretical Physics, University of Münster,Wilhelm-Klemm-Str. 9, 48149 Münster, Germany

We will describe non-Markov processes defined by stochastic delay differential equations from the perspective of Fokker-Planck equations. First, we will derive a multivariate Fokker-Planck equation for stochastic processes with delay. Second, it will be shown how to derive the delay Fokker-Planck equation proposed by Guillouzic et. al. from this multivariate Fokker-Planck equation. Third, we will derive the exact stationary solution of a linear stochastic delay equation. Finally, we will briefly address the issue of data analysis for stochastic delay systems. (S. Guillouzic et al., Phys. Rev. E 59 (1999) 3970; T.D. Frank and P.J. Beek, PRE 64 (2001) 021917; T.D. Frank, PRE 66 (2002) 011914; T.D. Frank et al. PRE 68 (2003) 021912)