Asymptotic Analysis for Functional Stochastic Differential Equations, 1st ed. 2016 SpringerBriefs in Mathematics Series
Langue : Anglais
Auteurs : Bao Jianhai, Yin George, Yuan Chenggui
This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity.
This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.
Preface and Introduction.- Notation.- Ergodicity for Functional Stochastic Equations under Dissipativity.- Ergodicity for Functional Stochastic Equations without Dissipativity.- Convergence Rate of Euler-Maruyama Scheme for FSDEs.- Large Deviations for FSDEs.- Stochastic Interest Rate Models with Memory: Long-Term Behavior.- Existence and Uniqueness.- Markov Property and Variation of Constants Formulas.
Focuses on the long-term behavior and ergodicity of functional stochastic differential equations (FSDEs)
Written for researchers and graduate students in probability theory and stochastic analysis
Useful as a reference for applied mathematicians, engineers, and scientists who need to use FSDEs
Includes supplementary material: sn.pub/extras
Date de parution : 11-2016
Ouvrage de 151 p.
15.5x23.5 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 52,74 €
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