Scheme for calculation of sensitivity function until the second degree for linear stochastic differential systems with constant delays

In this paper we consider the problem of estimating the sensitivity of linear stochastic differential-difference systems with additive noises and multiple delays to a change of deterministic parameters. The first moment functions (expectations and covariances) for the sensitivity functions of the state vector to the second order were selected as characteristics of the sensitivity. A chain of ordinary differential equations without delays was derived on the basis of combination of the classical steps' method and an expansion of the state space. These equations describe the behavior of the required characteristics.