Random Perturbations Of Dynamical Systems

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Random Perturbations of Dynamical Systems

Author : M. I. Freidlin,A. D. Wentzell
Publisher : Springer Science & Business Media
Page : 334 pages
File Size : 45,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781468401769

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Random Perturbations of Dynamical Systems by M. I. Freidlin,A. D. Wentzell Pdf

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

Author : Yuri Kifer
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 54,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461581819

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Random Perturbations of Dynamical Systems by Yuri Kifer Pdf

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 Perturbations of Dynamical Systems

Author : Mark I. Freidlin,Alexander D. Wentzell
Publisher : Springer Science & Business Media
Page : 483 pages
File Size : 52,7 Mb
Release : 2012-05-31
Category : Mathematics
ISBN : 9783642258473

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Random Perturbations of Dynamical Systems by Mark I. Freidlin,Alexander D. Wentzell Pdf

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 Dynamical Systems

Author : Rabi Bhattacharya,Mukul Majumdar
Publisher : Cambridge University Press
Page : 5 pages
File Size : 45,7 Mb
Release : 2007-01-08
Category : Mathematics
ISBN : 9781139461627

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Random Dynamical Systems by Rabi Bhattacharya,Mukul Majumdar Pdf

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 Perturbation Methods with Applications in Science and Engineering

Author : Anatoli V. Skorokhod,Frank C. Hoppensteadt,Habib D. Salehi
Publisher : Springer Science & Business Media
Page : 500 pages
File Size : 48,5 Mb
Release : 2007-06-21
Category : Mathematics
ISBN : 9780387224466

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Random Perturbation Methods with Applications in Science and Engineering by Anatoli V. Skorokhod,Frank C. Hoppensteadt,Habib D. Salehi Pdf

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.

Smooth Ergodic Theory of Random Dynamical Systems

Author : Pei-Dong Liu,Min Qian
Publisher : Springer
Page : 233 pages
File Size : 53,6 Mb
Release : 2006-11-14
Category : Mathematics
ISBN : 9783540492917

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Smooth Ergodic Theory of Random Dynamical Systems by Pei-Dong Liu,Min Qian Pdf

This book studies ergodic-theoretic aspects of random dynam- ical systems, i.e. of deterministic systems with noise. It aims to present a systematic treatment of a series of recent results concerning invariant measures, entropy and Lyapunov exponents of such systems, and can be viewed as an update of Kifer's book. An entropy formula of Pesin's type occupies the central part. The introduction of relation numbers (ch.2) is original and most methods involved in the book are canonical in dynamical systems or measure theory. The book is intended for people interested in noise-perturbed dynam- ical systems, and can pave the way to further study of the subject. Reasonable knowledge of differential geometry, measure theory, ergodic theory, dynamical systems and preferably random processes is assumed.

Random Dynamical Systems in Finance

Author : Anatoliy Swishchuk,Shafiqul Islam
Publisher : CRC Press
Page : 354 pages
File Size : 46,5 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781439867198

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Random Dynamical Systems in Finance by Anatoliy Swishchuk,Shafiqul Islam Pdf

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

Random Perturbations of Dynamical Systems

Author : Mark I. Freidlin,Alexander D. Wentzell
Publisher : Springer Science & Business Media
Page : 442 pages
File Size : 48,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461206118

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Random Perturbations of Dynamical Systems by Mark I. Freidlin,Alexander D. Wentzell Pdf

A treatment of various kinds of limit theorems for stochastic processes defined as a result of random perturbations of dynamical systems. Apart from the long-time behaviour of the perturbed system, exit problems, metastable states, optimal stabilisation, and asymptotics of stationary distributions are considered in detail. The authors'main tools are the large deviation theory, the central limit theorem for stochastic processes, and the averaging principle. The results allow for explicit calculations of the asymptotics of many interesting characteristics of the perturbed system, and most of these results are closely connected with PDEs. This new edition contains expansions on the averaging principle, a new chapter on random perturbations of Hamiltonian systems, along with new results on fast oscillating perturbations of systems with conservation laws. New sections on wave front propagation in semilinear PDEs and on random perturbations of certain infinite-dimensional dynamical systems have been incorporated into the chapter on sharpenings and generalisations.

Extremes and Recurrence in Dynamical Systems

Author : Valerio Lucarini,Davide Faranda,Ana Cristina Gomes Monteiro Moreira de Freitas,Jorge Miguel Milhazes de Freitas,Mark Holland,Tobias Kuna,Matthew Nicol,Mike Todd,Sandro Vaienti
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 48,7 Mb
Release : 2016-04-04
Category : Mathematics
ISBN : 9781118632291

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Extremes and Recurrence in Dynamical Systems by Valerio Lucarini,Davide Faranda,Ana Cristina Gomes Monteiro Moreira de Freitas,Jorge Miguel Milhazes de Freitas,Mark Holland,Tobias Kuna,Matthew Nicol,Mike Todd,Sandro Vaienti Pdf

Written by a team of international experts, Extremes and Recurrence in Dynamical Systems presents a unique point of view on the mathematical theory of extremes and on its applications in the natural and social sciences. Featuring an interdisciplinary approach to new concepts in pure and applied mathematical research, the book skillfully combines the areas of statistical mechanics, probability theory, measure theory, dynamical systems, statistical inference, geophysics, and software application. Emphasizing the statistical mechanical point of view, the book introduces robust theoretical embedding for the application of extreme value theory in dynamical systems. Extremes and Recurrence in Dynamical Systems also features: • A careful examination of how a dynamical system can serve as a generator of stochastic processes • Discussions on the applications of statistical inference in the theoretical and heuristic use of extremes • Several examples of analysis of extremes in a physical and geophysical context • A final summary of the main results presented along with a guide to future research projects • An appendix with software in Matlab® programming language to help readers to develop further understanding of the presented concepts Extremes and Recurrence in Dynamical Systems is ideal for academics and practitioners in pure and applied mathematics, probability theory, statistics, chaos, theoretical and applied dynamical systems, statistical mechanics, geophysical fluid dynamics, geosciences and complexity science. VALERIO LUCARINI, PhD, is Professor of Theoretical Meteorology at the University of Hamburg, Germany and Professor of Statistical Mechanics at the University of Reading, UK. DAVIDE FARANDA, PhD, is Researcher at the Laboratoire des science du climat et de l’environnement, IPSL, CEA Saclay, Université Paris-Saclay, Gif-sur-Yvette, France. ANA CRISTINA GOMES MONTEIRO MOREIRA DE FREITAS, PhD, is Assistant Professor in the Faculty of Economics at the University of Porto, Portugal. JORGE MIGUEL MILHAZES DE FREITAS, PhD, is Assistant Professor in the Department of Mathematics of the Faculty of Sciences at the University of Porto, Portugal. MARK HOLLAND, PhD, is Senior Lecturer in Applied Mathematics in the College of Engineering, Mathematics and Physical Sciences at the University of Exeter, UK. TOBIAS KUNA, PhD, is Associate Professor in the Department of Mathematics and Statistics at the University of Reading, UK. MATTHEW NICOL, PhD, is Professor of Mathematics at the University of Houston, USA. MIKE TODD, PhD, is Lecturer in the School of Mathematics and Statistics at the University of St. Andrews, Scotland. SANDRO VAIENTI, PhD, is Professor of Mathematics at the University of Toulon and Researcher at the Centre de Physique Théorique, France.

A Dynamical Approach to Random Matrix Theory

Author : László Erdős,Horng-Tzer Yau
Publisher : American Mathematical Soc.
Page : 226 pages
File Size : 49,7 Mb
Release : 2017-08-30
Category : Random matrices
ISBN : 9781470436483

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A Dynamical Approach to Random Matrix Theory by László Erdős,Horng-Tzer Yau Pdf

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

Author : Enzo Olivieri,Maria Eulália Vares
Publisher : Cambridge University Press
Page : 540 pages
File Size : 55,8 Mb
Release : 2005-02-21
Category : Mathematics
ISBN : 0521591635

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Large Deviations and Metastability by Enzo Olivieri,Maria Eulália Vares Pdf

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Random Dynamical Systems

Author : Ludwig Arnold
Publisher : Springer Science & Business Media
Page : 590 pages
File Size : 51,5 Mb
Release : 2013-04-17
Category : Mathematics
ISBN : 9783662128787

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Random Dynamical Systems by Ludwig Arnold Pdf

The first systematic presentation of the theory of dynamical systems under the influence of randomness, this book includes products of random mappings as well as random and stochastic differential equations. The basic multiplicative ergodic theorem is presented, providing a random substitute for linear algebra. On its basis, many applications are detailed. Numerous instructive examples are treated analytically or numerically.

Stochastic Climate Models

Author : Peter Imkeller,Jin-Song von Storch
Publisher : Birkhäuser
Page : 413 pages
File Size : 46,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783034882873

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Stochastic Climate Models by Peter Imkeller,Jin-Song von Storch Pdf

A collection of articles written by mathematicians and physicists, designed to describe the state of the art in climate models with stochastic input. Mathematicians will benefit from a survey of simple models, while physicists will encounter mathematically relevant techniques at work.

Random Perturbations of Hamiltonian Systems

Author : Mark Iosifovich Freĭdlin,Alexander D. Wentzell
Publisher : American Mathematical Soc.
Page : 82 pages
File Size : 51,6 Mb
Release : 1994
Category : Mathematics
ISBN : 9780821825860

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Random Perturbations of Hamiltonian Systems by Mark Iosifovich Freĭdlin,Alexander D. Wentzell Pdf

Random perturbations of Hamiltonian systems in Euclidean spaces lead to stochastic processes on graphs, and these graphs are defined by the Hamiltonian. In the case of white-noise type perturbations, the limiting process will be a diffusion process on the graph. Its characteristics are expressed through the Hamiltonian and the characteristics of the noise. Freidlin and Wentzell calculate the process on the graph under certain conditions and develop a technique which allows consideration of a number of asymptotic problems. The Dirichlet problem for corresponding elliptic equations with a small parameter are connected with boundary problems on the graph.

Theory of Stability of Motion

Author : Ioėlʹ Gilʹevich Malkin
Publisher : Unknown
Page : 474 pages
File Size : 54,5 Mb
Release : 1959
Category : Motion
ISBN : UOM:39015014359726

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Theory of Stability of Motion by Ioėlʹ Gilʹevich Malkin Pdf