Random Dynamical Systems
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Random Dynamical Systems
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Author : Ludwig Arnold
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Random Dynamical Systems written by Ludwig Arnold and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Mathematics categories.
Background and Scope of the Book This book continues, extends, and unites various developments in the intersection of probability theory and dynamical systems. I will briefly outline the background of the book, thus placing it in a systematic and historical context and tradition. Roughly speaking, a random dynamical system is a combination of a measure-preserving dynamical system in the sense of ergodic theory, (D,F,lP', (B(t))tE'lf), 'II'= JR+, IR, z+, Z, with a smooth (or topological) dy namical system, typically generated by a differential or difference equation :i: = f(x) or Xn+l = tp(x.,), to a random differential equation :i: = f(B(t)w,x) or random difference equation Xn+l = tp(B(n)w, Xn)· Both components have been very well investigated separately. However, a symbiosis of them leads to a new research program which has only partly been carried out. As we will see, it also leads to new problems which do not emerge if one only looks at ergodic theory and smooth or topological dynam ics separately. From a dynamical systems point of view this book just deals with those dynamical systems that have a measure-preserving dynamical system as a factor (or, the other way around, are extensions of such a factor). As there is an invariant measure on the factor, ergodic theory is always involved.
Random Dynamical Systems In Finance
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Author : Anatoliy Swishchuk
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Random Dynamical Systems In Finance written by Anatoliy Swishchuk and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
The theory and applications of random dynamical systems (RDS) are at the cutting edge of research in mathematics and economics, particularly in modeling the long-run evolution of economic systems subject to exogenous random shocks. Despite this interest, there are no books available that solely focus on RDS in finance and economics. Exploring this emerging area, Random Dynamical Systems in Finance shows how to model RDS in financial applications. Through numerous examples, the book explains how the theory of RDS can describe the asymptotic and qualitative behavior of systems of random and stochastic differential/difference equations in terms of stability, invariant manifolds, and attractors. The authors present many models of RDS and develop techniques for implementing RDS as approximations to financial models and option pricing formulas. For example, they approximate geometric Markov renewal processes in ergodic, merged, double-averaged, diffusion, normal deviation, and Poisson cases and apply the obtained results to option pricing formulas. With references at the end of each chapter, this book provides a variety of RDS for approximating financial models, presents numerous option pricing formulas for these models, and studies the stability and optimal control of RDS. The book is useful for researchers, academics, and graduate students in RDS and mathematical finance as well as practitioners working in the financial industry.
Random Dynamical Systems
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Author : Rabi Bhattacharya
language : en
Publisher: Cambridge University Press
Release Date : 2007-01-08
Random Dynamical Systems written by Rabi Bhattacharya and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-08 with Mathematics categories.
This treatment provides an exposition of discrete time dynamic processes evolving over an infinite horizon. Chapter 1 reviews some mathematical results from the theory of deterministic dynamical systems, with particular emphasis on applications to economics. The theory of irreducible Markov processes, especially Markov chains, is surveyed in Chapter 2. Equilibrium and long run stability of a dynamical system in which the law of motion is subject to random perturbations is the central theme of Chapters 3-5. A unified account of relatively recent results, exploiting splitting and contractions, that have found applications in many contexts is presented in detail. Chapter 6 explains how a random dynamical system may emerge from a class of dynamic programming problems. With examples and exercises, readers are guided from basic theory to the frontier of applied mathematical research.
Applied Nonautonomous And Random Dynamical Systems
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Author : Tomás Caraballo
language : en
Publisher: Springer
Release Date : 2017-01-31
Applied Nonautonomous And Random Dynamical Systems written by Tomás Caraballo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-31 with Mathematics categories.
This book offers an introduction to the theory of non-autonomous and stochastic dynamical systems, with a focus on the importance of the theory in the Applied Sciences. It starts by discussing the basic concepts from the theory of autonomous dynamical systems, which are easier to understand and can be used as the motivation for the non-autonomous and stochastic situations. The book subsequently establishes a framework for non-autonomous dynamical systems, and in particular describes the various approaches currently available for analysing the long-term behaviour of non-autonomous problems. Here, the major focus is on the novel theory of pullback attractors, which is still under development. In turn, the third part represents the main body of the book, introducing the theory of random dynamical systems and random attractors and revealing how it may be a suitable candidate for handling realistic models with stochasticity. A discussion of future research directions serves to round out the coverage.
Random Perturbations Of Dynamical Systems
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Author : M. I. Freidlin
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Random Perturbations Of Dynamical Systems written by M. I. Freidlin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Asymptotical problems have always played an important role in probability theory. In classical probability theory dealing mainly with sequences of independent variables, theorems of the type of laws of large numbers, theorems of the type of the central limit theorem, and theorems on large deviations constitute a major part of all investigations. In recent years, when random processes have become the main subject of study, asymptotic investigations have continued to playa major role. We can say that in the theory of random processes such investigations play an even greater role than in classical probability theory, because it is apparently impossible to obtain simple exact formulas in problems connected with large classes of random processes. Asymptotical investigations in the theory of random processes include results of the types of both the laws of large numbers and the central limit theorem and, in the past decade, theorems on large deviations. Of course, all these problems have acquired new aspects and new interpretations in the theory of random processes.
Topological Dynamics Of Random Dynamical Systems
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Author : Nguyen Dinh Cong
language : en
Publisher: Oxford University Press
Release Date : 1997
Topological Dynamics Of Random Dynamical Systems written by Nguyen Dinh Cong and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Mathematics categories.
This book is the first systematic treatment of the theory of topological dynamics of random dynamical systems. A relatively new field, the theory of random dynamical systems unites and develops the classical deterministic theory of dynamical systems and probability theory, finding numerous applications in disciplines ranging from physics and biology to engineering, finance and economics. This book presents in detail the solutions to the most fundamental problems of topological dynamics: linearization of nonlinear smooth systems, classification, and structural stability of linear hyperbolic systems. Employing the tools and methods of algebraic ergodic theory, the theory presented in the book has surprisingly beautiful results showing the richness of random dynamical systems as well as giving a gentle generalization of the classical deterministic theory.
Stable And Random Motions In Dynamical Systems
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Author : Jurgen Moser
language : en
Publisher: Princeton University Press
Release Date : 2016-03-02
Stable And Random Motions In Dynamical Systems written by Jurgen Moser and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-02 with Science categories.
For centuries, astronomers have been interested in the motions of the planets and in methods to calculate their orbits. Since Newton, mathematicians have been fascinated by the related N-body problem. They seek to find solutions to the equations of motion for N masspoints interacting with an inverse-square-law force and to determine whether there are quasi-periodic orbits or not. Attempts to answer such questions have led to the techniques of nonlinear dynamics and chaos theory. In this book, a classic work of modern applied mathematics, Jürgen Moser presents a succinct account of two pillars of the theory: stable and chaotic behavior. He discusses cases in which N-body motions are stable, covering topics such as Hamiltonian systems, the (Moser) twist theorem, and aspects of Kolmogorov-Arnold-Moser theory. He then explores chaotic orbits, exemplified in a restricted three-body problem, and describes the existence and importance of homoclinic points. This book is indispensable for mathematicians, physicists, and astronomers interested in the dynamics of few- and many-body systems and in fundamental ideas and methods for their analysis. After thirty years, Moser's lectures are still one of the best entrées to the fascinating worlds of order and chaos in dynamics.
Random Perturbation Methods With Applications In Science And Engineering
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Author : Anatoli V. Skorokhod
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-06-21
Random Perturbation Methods With Applications In Science And Engineering written by Anatoli V. Skorokhod and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-06-21 with Mathematics categories.
This book develops methods for describing random dynamical systems, and it illustrats how the methods can be used in a variety of applications. Appeals to researchers and graduate students who require tools to investigate stochastic systems.
Nonautonomous Dynamical Systems
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Author : Peter E. Kloeden
language : en
Publisher: American Mathematical Soc.
Release Date : 2011-08-17
Nonautonomous Dynamical Systems written by Peter E. Kloeden and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-17 with Mathematics categories.
The theory of nonautonomous dynamical systems in both of its formulations as processes and skew product flows is developed systematically in this book. The focus is on dissipative systems and nonautonomous attractors, in particular the recently introduced concept of pullback attractors. Linearization theory, invariant manifolds, Lyapunov functions, Morse decompositions and bifurcations for nonautonomous systems and set-valued generalizations are also considered as well as applications to numerical approximations, switching systems and synchronization. Parallels with corresponding theories of control and random dynamical systems are briefly sketched. With its clear and systematic exposition, many examples and exercises, as well as its interesting applications, this book can serve as a text at the beginning graduate level. It is also useful for those who wish to begin their own independent research in this rapidly developing area.