Overview
- Of great interest for practitioners and researchers who apply stochastic models to describe phenomena of instability
- Contains results on the weak convergence of a wide class of functionals of SDE solutions
- Includes a range of examples illustrating statements about weak convergence
Part of the book series: Bocconi & Springer Series (BS, volume 9)
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Table of contents (6 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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 Itô'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.
Reviews
“The book will be of interest to anybody working in stochastic analysis and its applications, from master and PhD students to professional researchers. Applied scientists can also benefit from this book by seeing efficient methods to deal with unstable processes.” (Jordan M. Stoyanov, zbMATH 1456.60002, 2021)
Authors and Affiliations
About the authors
Prof. Grigorij Kulinich received his PhD in probability and statistics from Kyiv University in 1968 and completed his postdoctoral degree in probability and statistics (Habilitation) in 1981. His research work focuses mainly on asymptotic problems of stochastic differential equations with nonregular dependence on parameter, theory of stochastic differential equations, and theory of stochastic processes. He is the author of more than 150 published papers.
Prof. Yuliya Mishura received her PhD in probability and statistics from Kyiv University in 1978 and completed her postdoctoral degree in probability and statistics (Habilitation) in 1990. She is currently a professor at Taras Shevchenko National University of Kyiv. She is the author/coauthor of more than 270 research papers and 9 books. Her research interests include theory and statistics of stochastic processes, stochastic differential equations, fractional processes, stochastic analysis,and financial mathematics.
Dr. Svitlana Kushnirenko is an Associate Professor in the Department of General Mathematics, Taras Shevchenko National University of Kyiv, where she also completed her PhD in probability and statistics in 2006. Her research interests include theory of stochastic differential equations and stochastic analysis. She is the author of 20 papers.
Bibliographic Information
Book Title: Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
Authors: Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura
Series Title: Bocconi & Springer Series
DOI: https://doi.org/10.1007/978-3-030-41291-3
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Nature Switzerland AG 2020
Hardcover ISBN: 978-3-030-41290-6Published: 30 April 2020
Softcover ISBN: 978-3-030-41293-7Published: 30 April 2021
eBook ISBN: 978-3-030-41291-3Published: 29 April 2020
Series ISSN: 2039-1471
Series E-ISSN: 2039-148X
Edition Number: 1
Number of Pages: XV, 240
Number of Illustrations: 2 b/w illustrations, 2 illustrations in colour
Topics: Probability Theory and Stochastic Processes, Dynamical Systems and Ergodic Theory, Ordinary Differential Equations, Functional Analysis, Partial Differential Equations