  Marcus stochastic delay differential equations (SDDEs) are often used to
model stochastic dynamical systems with memory in science and engineering.
Since no infinitesimal generators exist for Marcus SDDEs due to the
non-Markovian property, conventional Fokker-Planck equations, which govern the
evolution behavior of density, are not available for Marcus SDDEs. In this
paper, we identify the Marcus SDDE with some Marcus stochastic differential
equation (SDE) without delays but subject to extra constraints. This provides
an efficient way to establish existence and uniqueness for the solution, and
obtain a representation formula for probability density of the Marcus SDDE. In
the formula, the probability density for Marcus SDDE is expressed in terms of
that for Marcus SDE without delay.
