random dynamical systems theory and applications

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Random Dynamical Systems

Author : Rabi Bhattacharya
ISBN : 9781139461627
Genre : Mathematics
File Size : 30. 88 MB
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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.

Monotone Random Systems Theory And Applications

Author : Igor Chueshov
ISBN : 9783540458159
Genre : Mathematics
File Size : 59. 28 MB
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The aim of this book is to present a recently developed approach suitable for investigating a variety of qualitative aspects of order-preserving random dynamical systems and to give the background for further development of the theory. The main objects considered are equilibria and attractors. The effectiveness of this approach is demonstrated by analysing the long-time behaviour of some classes of random and stochastic ordinary differential equations which arise in many applications.

Random Dynamical Systems In Finance

Author : Anatoliy Swishchuk
ISBN : 9781439867198
Genre : Business & Economics
File Size : 32. 69 MB
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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

Author : Ludwig Arnold
ISBN : 3540637583
Genre : Language Arts & Disciplines
File Size : 84. 22 MB
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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)ยท 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.

Topological Dynamics Of Random Dynamical Systems

Author : Nguyen Dinh Cong
ISBN : 0198501579
Genre : Mathematics
File Size : 65. 32 MB
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This book is a systematic presentation of the solution of one of the fundamental problems of the theory of random dynamical systems - the problem of topological classification and structural stability of linear hyperbolic random dynamical 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 generalizationof the classical deterministic theory.

Piecewise Smooth Dynamical Systems

Author : Mario Bernardo
ISBN : 1846287081
Genre : Mathematics
File Size : 63. 41 MB
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This book presents a coherent framework for understanding the dynamics of piecewise-smooth and hybrid systems. An informal introduction expounds the ubiquity of such models via numerous. The results are presented in an informal style, and illustrated with many examples. The book is aimed at a wide audience of applied mathematicians, engineers and scientists at the beginning postgraduate level. Almost no mathematical background is assumed other than basic calculus and algebra.

Stochastic Evolution Systems

Author : Boris L. Rozovsky
ISBN : 9783319948935
Genre : Mathematics
File Size : 44. 39 MB
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This monograph, now in a thoroughly revised second edition, develops the theory of stochastic calculus in Hilbert spaces and applies the results to the study of generalized solutions of stochastic parabolic equations. The emphasis lies on second-order stochastic parabolic equations and their connection to random dynamical systems. The authors further explore applications to the theory of optimal non-linear filtering, prediction, and smoothing of partially observed diffusion processes. The new edition now also includes a chapter on chaos expansion for linear stochastic evolution systems. This book will appeal to anyone working in disciplines that require tools from stochastic analysis and PDEs, including pure mathematics, financial mathematics, engineering and physics.

Shadowing In Dynamical Systems

Author : K.J. Palmer
ISBN : 0792361792
Genre : Mathematics
File Size : 57. 47 MB
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In this book the theory of hyperbolic sets is developed, both for diffeomorphisms and flows, with an emphasis on shadowing. We show that hyperbolic sets are expansive and have the shadowing property. Then we use shadowing to prove that hyperbolic sets are robust under perturbation, that they have an asymptotic phase property and also that the dynamics near a transversal homoclinic orbit is chaotic. It turns out that chaotic dynamical systems arising in practice are not quite hyperbolic. However, they possess enough hyperbolicity to enable us to use shadowing ideas to give computer-assisted proofs that computed orbits of such systems can be shadowed by true orbits for long periods of time, that they possess periodic orbits of long periods and that it is really true that they are chaotic. Audience: This book is intended primarily for research workers in dynamical systems but could also be used in an advanced graduate course taken by students familiar with calculus in Banach spaces and with the basic existence theory for ordinary differential equations.

Stochastic Dynamics

Author : Hans Crauel
ISBN : 9780387226552
Genre : Mathematics
File Size : 26. 60 MB
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Focusing on the mathematical description of stochastic dynamics in discrete as well as in continuous time, this book investigates such dynamical phenomena as perturbations, bifurcations and chaos. It also introduces new ideas for the exploration of infinite dimensional systems, in particular stochastic partial differential equations. Example applications are presented from biology, chemistry and engineering, while describing numerical treatments of stochastic systems.

Stochastic Systems

Author : V S Pugachev
ISBN : 9789813105881
Genre :
File Size : 42. 48 MB
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This book presents the general theory and basic methods of linear and nonlinear stochastic systems (StS) i.e. dynamical systems described by stochastic finite- and infinite-dimensional differential, integral, integrodifferential, difference etc equations. The general StS theory is based on the equations for characteristic functions and functionals. The book outlines StS structural theory, including direct numerical methods, methods of normalization, equivalent linearization and parametrization of one- and multi-dimensional distributions, based on moments, quasimoments, semi-invariants and orthogonal expansions. Special attention is paid to methods based on canonical expansions and integral canonical representations. About 500 exercises and problems are provided. The authors also consider applications in mathematics and mechanics, physics and biology, control and information processing, operations research and finance.

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