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＜電子ブック＞
Asymptotic Analysis for Functional Stochastic Differential Equations / by Jianhai Bao, George Yin, Chenggui Yuan
(SpringerBriefs in Mathematics. ISSN:21918201)

版	1st ed. 2016.
出版者	(Cham : Springer International Publishing : Imprint: Springer)
出版年	2016
大きさ	XVI, 151 p : online resource
著者標目	*Bao, Jianhai author Yin, George author Yuan, Chenggui author SpringerLink (Online service)
件　名	LCSH:Probabilities LCSH:Differential equations FREE:Probability Theory FREE:Differential Equations
一般注記	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 HTTP:URL=https://doi.org/10.1007/978-3-319-46979-9

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