On stochastic differential equations with random delay

We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an nth-order equation with random delay, the corresponding deterministic equation has order n+1. We analyze various examples of dynamical systems of this kind, and find a number of unusual behaviors. For instance, for the harmonic oscillator with random delay, the energy grows as exp((3/2) t(2/3)) in reduced units. We then investigate the effect of introducing a discrete time step epsilon. At variance with the continuous situation, the discrete random recursion relations thus obtained have intrinsic fluctuations. The crossover between the fluctuating discrete problem and the deterministic continuous one as e goes to zero is studied in detail on the example of a first-order linear differential equation.