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Author: Mark Iosifovich Freĭdlin
Publisher: American Mathematical Soc.
ISBN: 0821825860
Category : Mathematics
Languages : en
Pages : 97
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Book Description
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.
Author: Mark Iosifovich Freĭdlin
Publisher: American Mathematical Soc.
ISBN: 0821825860
Category : Mathematics
Languages : en
Pages : 97
Get Book Here
Book Description
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.
Author: M. I. Freidlin
Publisher: Springer Science & Business Media
ISBN: 1468401769
Category : Mathematics
Languages : en
Pages : 334
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Book Description
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.
Author: Mark I. Freidlin
Publisher: Springer Science & Business Media
ISBN: 3642258476
Category : Mathematics
Languages : en
Pages : 483
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Book Description
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.
Author: Mark Iosifovich Freĭdlin
Publisher: Springer Science & Business Media
ISBN: 0387983627
Category : Perturbation (Mathematics)
Languages : en
Pages : 448
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Book Description
The authors' main tools are the large deviation theory the centred limit theorem for stochastic processes, and the averaging principle - all presented in great detail. The results allow for explicit calculations of the asymptotics of many interesting characteristics of the perturbed system.
Author: Anatoli V. Skorokhod
Publisher: Springer Science & Business Media
ISBN: 0387224467
Category : Mathematics
Languages : en
Pages : 500
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Book Description
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.
Author: Mark Iosifovich Freĭdlin
Publisher: American Mathematical Soc.
ISBN: 9780821862469
Category : Mathematics
Languages : en
Pages : 100
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Book Description
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.
Author: Anatoliy M. Samoilenko
Publisher: World Scientific
ISBN: 981432907X
Category : Mathematics
Languages : en
Pages : 323
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Book Description
1. Differential equations with random right-hand sides and impulsive effects. 1.1. An impulsive process as a solution of an impulsive system. 1.2. Dissipativity. 1.3. Stability and Lyapunov functions. 1.4. Stability of systems with permanently acting random perturbations. 1.5. Solutions periodic in the restricted sense. 1.6. Periodic solutions of systems with small perturbations. 1.7. Periodic solutions of linear impulsive systems. 1.8. Weakly nonlinear systems. 1.9. Comments and references -- 2. Invariant sets for systems with random perturbations. 2.1. Invariant sets for systems with random right-hand sides. 2.2. Invariant sets for stochastic Ito systems. 2.3. The behaviour of invariant sets under small perturbations. 2.4. A study of stability of an equilibrium via the reduction principle for systems with regular random perturbations. 2.5. Stability of an equilibrium and the reduction principle for Ito type systems. 2.6. A study of stability of the invariant set via the reduction principle. Regular perturbations. 2.7. Stability of invariant sets and the reduction principle for Ito type systems. 2.8. Comments and references -- 3. Linear and quasilinear stochastic Ito systems. 3.1. Mean square exponential dichotomy. 3.2. A study of dichotomy in terms of quadratic forms. 3.3. Linear system solutions that are mean square bounded on the semiaxis. 3.4. Quasilinear systems. 3.5. Linear system solutions that are probability bounded on the axis. A generalized notion of a solution. 3.6. Asymptotic equivalence of linear systems. 3.7. Conditions for asymptotic equivalence of nonlinear systems. 3.8. Comments and references -- 4. Extensions of Ito systems on a torus. 4.1. Stability of invariant tori. 4.2. Random invariant tori for linear extensions. 4.3. Smoothness of invariant tori. 4.4. Random invariant tori for nonlinear extensions. 4.5. An ergodic theorem for a class of stochastic systems having a toroidal manifold. 4.6. Comments and references -- 5. The averaging method for equations with random perturbations. 5.1. A substantiation of the averaging method for systems with impulsive effect. 5.2. Asymptotics of normalized deviations of averaged solutions. 5.3. Applications to the theory of nonlinear oscillations. 5.4. Averaging for systems with impulsive effects at random times. 5.5. The second theorem of M.M. Bogolyubov for systems with regular random perturbations. 5.6. Averaging for stochastic Ito systems. An asymptotically finite interval. 5.7. Averaging on the semiaxis. 5.8. The averaging method and two-sided bounded solutions of Ito systems. 5.9. Comments and references
Author: Pao-Liu Chow
Publisher: Springer Science & Business Media
ISBN: 0387751114
Category : Mathematics
Languages : en
Pages : 223
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Book Description
To honor Rafail Z. Khasminskii, on his seventy-fifth birthday, for his contributions to stochastic processes and nonparametric estimation theory an IMA participating institution conference entitled "Conference on Asymptotic Analysis in Stochastic Processes, Nonparametric Estimation, and Related Problems" was held. This volume commemorates this special event. Dedicated to Professor Khasminskii, it consists of nine papers on various topics in probability and statistics.
Author: Jialin Hong
Publisher: Springer Nature
ISBN: 9811976708
Category : Mathematics
Languages : en
Pages : 307
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Book Description
This book provides an accessible overview concerning the stochastic numerical methods inheriting long-time dynamical behaviours of finite and infinite-dimensional stochastic Hamiltonian systems. The long-time dynamical behaviours under study involve symplectic structure, invariants, ergodicity and invariant measure. The emphasis is placed on the systematic construction and the probabilistic superiority of stochastic symplectic methods, which preserve the geometric structure of the stochastic flow of stochastic Hamiltonian systems. The problems considered in this book are related to several fascinating research hotspots: numerical analysis, stochastic analysis, ergodic theory, stochastic ordinary and partial differential equations, and rough path theory. This book will appeal to researchers who are interested in these topics.
Author: Vladas Sidoravicius
Publisher: Springer Science & Business Media
ISBN: 9048128102
Category : Science
Languages : en
Pages : 886
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Book Description
This book collects selected papers written by invited and plenary speakers of the 15th International Congress on Mathematical Physics (ICMP) in the aftermath of the conference. In extensive review articles and expository texts as well as advanced research articles the world leading experts present the state of the art in modern mathematical physics. New mathematical concepts and ideas are introduced by prominent mathematicalphysicists and mathematicians, covering among others the fields of Dynamical Systems, Operator Algebras, Partial Differential Equations, Probability Theory, Random Matrices, Condensed Matter Physics, Statistical Mechanics, General Relativity, Quantum Mechanics, Quantum Field Theory, Quantum Information and String Theory. All together the contributions in this book give a panoramic view of the latest developments in mathematical physics. They will help readers with a general interest in mathematical physics to get an update on the most recent developments in their field, and give a broad overview on actual and future research directions in this fascinating and rapidly expanding area.
