  We consider a general stochastic differential delay equation (SDDE) with
state-dependent colored noises and derive its limit as the time delays and the
correlation times of the noises go to zero. The work is motivated by an
experiment involving an electrical circuit with noisy, delayed feedback. An
Ornstein-Uhlenbeck process is used to model the colored noise. The main methods
used in the proof are a theorem about convergence of solutions of stochastic
differential equations by Kurtz and Protter and a maximal inequality for sums
of a stationary sequence of random variables by Peligrad and Utev.
