Asymptotic Analysis for Functional Stochastic Differential Equations
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Beschreibung
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.
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
Autor*in
Jianhai Bao
Themen in »Asymptotic Analysis for Functional Stochastic Differential Equations«
Functional stochastic differential equation Ergodicity Invariant measure Uniform large deviation principle Delay Cox-Ingersoll-Ross model with jumps Long-term return Two-factor model Brownian Motion Jump process ordinary differential equations