Delay Fokker-Planck equations, Novikov’s theorem, and Boltzmann distributions as small delay approximations

Abstract

We study time-delayed stochastic systems that can be described by means of so-called delay Fokker-Planck equations. Using Novikov's theorem, we first show that the theory of delay Fokker-Planck equations is on an equal footing with the theory of ordinary Fokker-Planck equations. Subsequently, we derive stationary distributions in the case of small time delays. In the case of additive noise systems, these distributions can be cast into the form of Boltzmann distributions involving effective potential functions.