Random Perturbations Of Dynamical Systems
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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.
Random Perturbations Of Dynamical Systems
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Author : Mark I. Freidlin
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-05-31
Random Perturbations Of Dynamical Systems written by Mark 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 2012-05-31 with Mathematics categories.
Many notions and results presented in the previous editions of this volume have since become quite popular in applications, and many of them have been “rediscovered” in applied papers. In the present 3rd edition small changes were made to the chapters in which long-time behavior of the perturbed system is determined by large deviations. Most of these changes concern terminology. In particular, it is explained that the notion of sub-limiting distribution for a given initial point and a time scale is identical to the idea of metastability, that the stochastic resonance is a manifestation of metastability, and that the theory of this effect is a part of the large deviation theory. The reader will also find new comments on the notion of quasi-potential that the authors introduced more than forty years ago, and new references to recent papers in which the proofs of some conjectures included in previous editions have been obtained. Apart from the above mentioned changes the main innovations in the 3rd edition concern the averaging principle. A new Section on deterministic perturbations of one-degree-of-freedom systems was added in Chapter 8. It is shown there that pure deterministic perturbations of an oscillator may lead to a stochastic, in a certain sense, long-time behavior of the system, if the corresponding Hamiltonian has saddle points. The usefulness of a joint consideration of classical theory of deterministic perturbations together with stochastic perturbations is illustrated in this section. Also a new Chapter 9 has been inserted in which deterministic and stochastic perturbations of systems with many degrees of freedom are considered. Because of the resonances, stochastic regularization in this case is even more important.
Random Perturbations Of Dynamical Systems
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Author : Yuri Kifer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Random Perturbations Of Dynamical Systems written by Yuri Kifer 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.
Mathematicians often face the question to which extent mathematical models describe processes of the real world. These models are derived from experimental data, hence they describe real phenomena only approximately. Thus a mathematical approach must begin with choosing properties which are not very sensitive to small changes in the model, and so may be viewed as properties of the real process. In particular, this concerns real processes which can be described by means of ordinary differential equations. By this reason different notions of stability played an important role in the qualitative theory of ordinary differential equations commonly known nowdays as the theory of dynamical systems. Since physical processes are usually affected by an enormous number of small external fluctuations whose resulting action would be natural to consider as random, the stability of dynamical systems with respect to random perturbations comes into the picture. There are differences between the study of stability properties of single trajectories, i. e. , the Lyapunov stability, and the global stability of dynamical systems. The stochastic Lyapunov stability was dealt with in Hasminskii [Has]. In this book we are concerned mainly with questions of global stability in the presence of noise which can be described as recovering parameters of dynamical systems from the study of their random perturbations. The parameters which is possible to obtain in this way can be considered as stable under random perturbations, and so having physical sense. -1- Our set up is the following.
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.
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.
Random Dynamical Systems In Finance
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Author : Anatoliy Swishchuk
language : en
Publisher: CRC Press
Release Date : 2013-04-23
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 2013-04-23 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 Perturbations Of Dynamical Systems
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Author : M. I. Freidlin
language : en
Publisher: Springer
Release Date : 1983-10-24
Random Perturbations Of Dynamical Systems written by M. I. Freidlin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983-10-24 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.
Stochastic Stability Of Differential Equations
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Author : Rafail Khasminskii
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-20
Stochastic Stability Of Differential Equations written by Rafail Khasminskii 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 2011-09-20 with Mathematics categories.
Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov exponent, the criteria for the moment and almost sure stability, and for the existence of stationary and periodic solutions of stochastic differential equations have been widely used in the literature. In this updated volume readers will find important new results on the moment Lyapunov exponent, stability index and some other fields, obtained after publication of the first edition, and a significantly expanded bibliography. This volume provides a solid foundation for students in graduate courses in mathematics and its applications. It is also useful for those researchers who would like to learn more about this subject, to start their research in this area or to study the properties of concrete mechanical systems subjected to random perturbations.
A Dynamical Approach To Random Matrix Theory
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Author : László Erdős
language : en
Publisher: American Mathematical Soc.
Release Date : 2017-08-30
A Dynamical Approach To Random Matrix Theory written by László Erdős 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 2017-08-30 with Mathematics categories.
A co-publication of the AMS and the Courant Institute of Mathematical Sciences at New York University This book is a concise and self-contained introduction of recent techniques to prove local spectral universality for large random matrices. Random matrix theory is a fast expanding research area, and this book mainly focuses on the methods that the authors participated in developing over the past few years. Many other interesting topics are not included, and neither are several new developments within the framework of these methods. The authors have chosen instead to present key concepts that they believe are the core of these methods and should be relevant for future applications. They keep technicalities to a minimum to make the book accessible to graduate students. With this in mind, they include in this book the basic notions and tools for high-dimensional analysis, such as large deviation, entropy, Dirichlet form, and the logarithmic Sobolev inequality. This manuscript has been developed and continuously improved over the last five years. The authors have taught this material in several regular graduate courses at Harvard, Munich, and Vienna, in addition to various summer schools and short courses. Titles in this series are co-published with the Courant Institute of Mathematical Sciences at New York University.
Large Deviations And Metastability
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Author : Enzo Olivieri
language : en
Publisher: Cambridge University Press
Release Date : 2005-02-21
Large Deviations And Metastability written by Enzo Olivieri 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 2005-02-21 with Mathematics categories.
The book provides a general introduction to the theory of large deviations and a wide overview of the metastable behaviour of stochastic dynamics. With only minimal prerequisites, the book covers all the main results and brings the reader to the most recent developments. Particular emphasis is given to the fundamental Freidlin-Wentzell results on small random perturbations of dynamical systems. Metastability is first described on physical grounds, following which more rigorous approaches to its description are developed. Many relevant examples are considered from the point of view of the so-called pathwise approach. The first part of the book develops the relevant tools including the theory of large deviations which are then used to provide a physically relevant dynamical description of metastability. Written to be accessible to graduate students, this book provides an excellent route into contemporary research.