Random Dynamical Systems

Rabi Bhattacharya, Mukul Majumdar

464 pages, parution le 19/04/2007

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Résumé

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.

Ideal for undergraduate and graduate courses on dynamic economics, Markov processes, Stochastic processes/probability
Authors are internationally renowned for their work in this field
Full of examples with many solutions, drawn from both applied mathematics and econometrics/statistics

Sommaire

Dynamical systems;
Markov processes;
Random dynamical systems;
Random dynamical systems: special structures;
Invariant distributions: estimations and computation;
Discounted dynamic programming under uncertainty;
Appendix.

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Rabi Bhattacharya, Mukul Majumdar
Parution	19/04/2007
Nb. de pages	464
Format	15 x 22,5
Couverture	Broché
Poids	629g
Intérieur	Noir et Blanc
EAN13	9780521532723
ISBN13	978-0-521-53272-3