Journal
PHYSICS LETTERS A
Volume 360, Issue 4-5, Pages 552-562Publisher
ELSEVIER
DOI: 10.1016/j.physleta.2006.08.062
Keywords
05.40.-a; 02.30.Ks; 02.50.Ey
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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.
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