Abstract
This paper presents a method of finite dimensional Markov process (FDMP) approximation for stochastic dynamical systems with time delay. The FDMP method preserves the standard state space format of the system, and allows us to apply all the existing methods and theories for analysis and control of stochastic dynamical systems. The paper presents the theoretical framework for stochastic dynamical systems with time delay based on the FDMP method, including the FPK equation, backward Kolmogorov equation, and reliability formulation. A simple one-dimensional stochastic system is used to demonstrate the method and the theory. The work of this paper opens a door to various studies of stochastic dynamical systems with time delay.
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