Asymptotic Analysis for Functional Stochastic Differential Equations
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 f...
| Main Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2016, 2016
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| Edition: | 1st ed. 2016 |
| Series: | SpringerBriefs in Mathematics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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