Improved MSSSE scheme for analysis of systems of linear stochastic ordinary differential equations of neutral type with multiple constant delays

The paper presents a new form of the scheme combining the classical method of steps and an extension of the state space (MSSSE) and intended for analysis of linear stochastic systems of neutral type with multiple constant delays. We have obtained a vector-matrix representation of the equations for the vectors of the mathematical expectation and matrices of the covariance functions for the chain of extended state vectors. This representation allows to design a full description for the stochastic dynamics of such systems.