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Asymptotic analysis for functional s...

Bao, Jianhai.

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Asymptotic analysis for functional stochastic differential equations

Record Type:	Electronic resources : Monograph/item
Title/Author:	Asymptotic analysis for functional stochastic differential equations/ by Jianhai Bao, George Yin, Chenggui Yuan.
Author:	Bao, Jianhai.
other author:	Yin, George.
Published:	Cham :Springer International Publishing : : 2016.,
Description:	xvi, 151 p. :ill., digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Stochastic partial differential equations - Asymptotic theory. -
Online resource:	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:

3201172
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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100 1 $a Bao, Jianhai. $3 3201171
245 1 0 $a Asymptotic analysis for functional stochastic differential equations $h [electronic resource] / $c by Jianhai Bao, George Yin, Chenggui Yuan.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2016.
300 $a xvi, 151 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in mathematics, $x 2191-8198
505 0 $a 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.
520 $a 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.
650 0 $a Stochastic partial differential equations $x Asymptotic theory. $3 3201172
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Ordinary Differential Equations. $3 891264
700 1 $a Yin, George. $3 1084330
700 1 $a Yuan, Chenggui. $3 906739
710 2 $a SpringerLink (Online service) $3 836513
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830 0 $a SpringerBriefs in mathematics. $3 1566700
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-46979-9
950 $a Mathematics and Statistics (Springer-11649)