An application of the MSESS scheme for an analysis of linear stochastic systems with distributed and finite lumped delays

In the paper, a problem of derivation of ordinary differential equations for the first moment functions of the state vector for linear stochastic differential system with the special forms of delays, notably with distributed and finite lumped lags, is considered. The technique combining the classic method of steps and the scheme of state space extension (MSESS) successively being developed by the author is used to derive a chain of stochastic differential equations without delays and equations for required moment functions too.