Random dynamical systems in finance
Random dynamical systems (RDS) have especially been studied in many contest in economics, particularly in modeling 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. RDS in finance shows how to model RDS in financial applications. Through numerous examples, the book explains how the theory of RDS can describe the asymptotic and qualitative behavior of systems of random and stochastic differential-difference equations in terms of stability, invariant manifolds and attractors. The authors present many models of RDS and develop techniques for implementing RDS as approximations to financial models and option pricing formulas. For example, they approximate geometric Markov renewal processes in the ergodic, merged, double-averaged, diffusion, normal deviation, and Poisson cases and apply the obtained results to option formulas. This book provides a variety of RDS for approximating financial models, and studies the stability and optimal control of RDS. The book is useful for graduate students in RDS and mathematical finance as well as practitioners working in the financial industry.
- Identification of stochastically perturbed autonomous systems from temporal sequences of probability density functions
- Multistability of a two-dimensional map arising in an influenza model
- A matrix-based approach to solving the inverse Frobenius-Perron problem using sequences of density functions of stochastically perturbed dynamical systems
- Solving the inverse Frobenius-Perron problem using stationary densities of dynamical systems with input perturbations
- Stochastic dynamics: Markov chains and random transformations
- Random dynamical systems. Theory and applications
- Optimal chaotic selectors
- RANDOM DYNAMICAL SYSTEMS IN ECONOMICS
- A new approach to identification of input-driven dynamical systems from probability densities
- scientific article; zbMATH DE number 1376674 (Why is no real title available?)
- scientific article; zbMATH DE number 1444753 (Why is no real title available?)
- Random-finite-valued dynamical systems: additive Markov approach
- On some random densities for random maps
- Iterated function systems whose attractors are Cantor sets
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