Abstract
This paper presents a method of finite-dimensional Markov process (FDMP) approximation for stochastic dynamical systems with time delay and numerical solutions of probability density functions of the systems. Solutions of probability density functions of time-delayed systems are rare in the literature. 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 and to compute the probability density functions efficiently. The solutions of the FPK equation for a linear time-delayed stochastic system are presented. The effects of different spectral differentiation schemes for the FDMP method on the probability density functions are compared.
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