On Generalized Regular Stochastic Differential Delay Systems with Time Invariant Coefficients

Abstract In this article, we consider the generalized linear regular stochastic differential delay system with constant coefficients and two simultaneous external differentiable and non differentiable perturbations. These kinds of systems are inherent in many application fields; among them we mention fluid dynamics, the modeling of multi body mechanisms, finance and the problem of protein folding. Using the regular Matrix Pencil theory, we decompose it into two subsystems, whose solutions are obtained as generalized processes (in the sense of distributions). Moreover, the form of the initial function is given, so the corresponding initial value problem is uniquely solvable. Finally, two illustrative applications are presented using white noise and fractional white noise, respectively.

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