Asymptotic Analysis for Functional Stochastic Differential Equations

1. Auflage 2016
ISBN: 978-3-319-46978-2
Verlag: Springer International Publishing

Buch, Englisch, 151 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 2642 g

Reihe: SpringerBriefs in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Bao, Jianhai

Yuan, Chenggui

Yin, George

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

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.