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Asymptotic analysis for functional stochastic differential equations

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Asymptotic analysis for functional stochastic differential equations/ by Jianhai Bao, George Yin, Chenggui Yuan.
作者:	Bao, Jianhai.
其他作者:	Yin, George.
出版者:	Cham :Springer International Publishing : : 2016.,
面頁冊數:	xvi, 151 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Stochastic partial differential equations - Asymptotic theory. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-46979-9
ISBN:	9783319469799

Asymptotic analysis for functional stochastic differential equations
Bao, Jianhai.

Asymptotic analysis for functional stochastic differential equations[electronic resource] /by Jianhai Bao, George Yin, Chenggui Yuan. - Cham :Springer International Publishing :2016. - xvi, 151 p. :ill., digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

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.

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.

ISBN: 9783319469799

Standard No.: 10.1007/978-3-319-46979-9doiSubjects--Topical Terms:

1115835
Stochastic partial differential equations
--Asymptotic theory.

LC Class. No.: QA274.25

Dewey Class. No.: 519.22

Asymptotic analysis for functional stochastic differential equations
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