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  3. Random Dynamical Systems
  • Cited by 83
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    • Publisher:
      Cambridge University Press
      Publication date:
      February 2010
      January 2007
      ISBN:
      9780511618628
      9780521825658
      9780521532723
      DOI:
      https://doi.org/10.1017/CBO9780511618628
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.742kg, 480 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.626kg, 480 Pages
      • Subjects:
      Economics, Econometrics and Mathematical Methods, Optimization, OR and risk, Statistics and Probability
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    Subjects:
    Economics, Econometrics and Mathematical Methods, Optimization, OR and risk, Statistics and Probability
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    Book description

    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.

    Reviews

    'This reviewer has all the arguments to recommend the book strongly not only to institutional libraries but also to anybody who is studying, teaching or using stochastic models. With its contents and style of presentation this attractive book will be very useful to postgraduate students in several areas, among them mathematics, statistics or probability, economics, biology or engineering.'

    Source: Journal of the Royal Statistical Society

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