A new approach to simulating stochastic delayed systems

Fatehi, Farzad, Kyrychko, Yuliya N and Blyuss, Konstantin B (2020) A new approach to simulating stochastic delayed systems. Mathematical Biosciences, 322. a108327. ISSN 0025-5564

[img] PDF - Accepted Version
Available under License Creative Commons Attribution-NonCommercial No Derivatives.

Download (1MB)


In this paper we present a new method for deriving Itô stochastic delay differential equations (SDDEs) from delayed chemical master equations (DCMEs). Considering alternative formulations of SDDEs that can be derived from the same DCME, we prove that they are equivalent both in distribution, and in sample paths they produce. This allows us to formulate an algorithmic approach to deriving equivalent Itô SDDEs with a smaller number of noise variables, which increases the computational speed of simulating stochastic delayed systems. The new method is illustrated on a simple model of two interacting species and a model with bistability, and in both cases it shows excellent agreement with the results of direct stochastic simulations, while also demonstrating a much superior speed of performance.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
SWORD Depositor: Mx Elements Account
Depositing User: Mx Elements Account
Date Deposited: 30 Mar 2020 07:53
Last Modified: 01 Mar 2021 02:00
URI: http://sro.sussex.ac.uk/id/eprint/90600

View download statistics for this item

📧 Request an update