Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations (Hardcover, 1st ed. 2020)

This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is the first to present a systematic study of the instability and asymptotic behavior of the corresponding unstable stochastic systems. The limit theorems contained in the book are not merely of purely mathematical value; rather, they also have practical value. Instability or violations of stability are noted in many phenomena, and the authors attempt to apply mathematical and stochastic methods to deal with them. The main goals include exploration of Brownian motion in environments with anomalies and study of the motion of the Brownian particle in layered media. A fairly wide class of continuous Markov processes is obtained in the limit. It includes Markov processes with discontinuous transition densities, processes that are not solutions of any Ito's SDEs, and the Bessel diffusion process. The book is self-contained, with presentation of definitions and auxiliary results in an Appendix. It will be of value for specialists in stochastic analysis and SDEs, as well as for researchers in other fields who deal with unstable systems and practitioners who apply stochastic models to describe phenomena of instability.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Bocconi & Springer Series, 9
Release date:	April 2020
First published:	2020
Authors:	Grigorij Kulinich • Svitlana Kushnirenko • Yuliya Mishura
Dimensions:	235 x 155mm (L x W)
Format:	Hardcover
Pages:	240
Edition:	1st ed. 2020
ISBN-13:	978-3-03-041290-6
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Functional analysis Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations Books > Science & Mathematics > Mathematics > Applied mathematics > Non-linear science
LSN:	3-03-041290-3
Barcode:	9783030412906

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