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Asymptotic Analysis for Functional Stochastic Differential Equations
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Catalogue Information
Field name
Details
Dewey Class
519.2
Title
Asymptotic Analysis for Functional Stochastic Differential Equations ([EBook]) / by Jianhai Bao, George Yin, Chenggui Yuan.
Author
Bao, Jianhai
Added Personal Name
Yin, George
Yuan, Chenggui
Other name(s)
SpringerLink (Online service)
Publication
Cham : Springer International Publishing , 2016.
Physical Details
XVI, 151 pages : online resource.
Series
SpringerBriefs in Mathematics
2191-8198
ISBN
9783319469799
Summary Note
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.:
Contents note
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.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site
http://dx.doi.org/10.1007/978-3-319-46979-9
Links to Related Works
Subject References:
Differential equation
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Distribution (Probability theory)
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Mathematics
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Ordinary differential equations
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Probabilities
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Probability theory and stochastic processes
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Authors:
author
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Bao, Jianhai
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Yin, George
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Yuan, Chenggui
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Corporate Authors:
SpringerLink (Online service)
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Series:
SpringerBriefs in Mathematics
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Classification:
519.2
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