A bifurcation theory for a class of discrete time Markovian stochastic systems (Q1000768)

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A bifurcation theory for a class of discrete time Markovian stochastic systems
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    A bifurcation theory for a class of discrete time Markovian stochastic systems (English)
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    10 February 2009
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    A bifurcation theory of smooth stochastic dynamical systems \[ X_{t+1} = g(X_t,\varepsilon_t),\quad t \in \mathbb{N} \] with everywhere positive transition densities is presented. The ``dependence ratio'' of joint and marginal stationary probability densities is used to classify its behavior with respect to possible bifurcations. This ``dependence ratio'' is a geometric invariant of the system. The authors introduce an equivalence relation defined on those ratios in order to obtain a bifurcation theory for which, in the compact case, the set of stable (non-bifurcating) systems is open and dense. Two simple, but illustrative examples support their theory. An appendix states the mathematical proof-steps of their major propositions.
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    bifurcation theory
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    discrete time stochastic dynamical systems
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    geometric invariants
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    dependence ratio
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    stationary probability densities
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    Markovian systems
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