Asymptotic Analysis for Functional Stochastic Differential Equations

Jianhai Bao, George Yin, Chenggui Yuan (Autoren)

Buch | Softcover

XVI, 151 Seiten

2016 | 1st ed. 2016
Springer International Publishing (Verlag)
978-3-319-46978-2 (ISBN)

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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.

Erscheinungsdatum	16.12.2016
Reihe/Serie	SpringerBriefs in Mathematics
Zusatzinfo	XVI, 151 p.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	Brownian motion • Delay Cox-Ingersoll-Ross model with jumps • Differential calculus and equations • Ergodicity • Functional stochastic differential equation • invariant measure • jump process • Long-term return • mathematics and statistics • Ordinary differential equations • probability and statistics • Probability theory and stochastic processes • stochastics • Two-factor model • Uniform large deviation principle
ISBN-10	3-319-46978-9 / 3319469789
ISBN-13	978-3-319-46978-2 / 9783319469782
Zustand	Neuware