Numerical analysis of stochastic functional differential equations longtime asymptotics and probabilistic characteristics Chuchu Chen, Tonghe Dang, Jialin Hong, Guoting Song

Format:

Book

Author/Creator:

Chen, Chuchu, author.

Dang, Tonghe, author.

Hong, Jialin, author.

Song, Guoting, 1993- author.

Series:

Lecture notes in mathematics (Springer-Verlag) ; v. 2399.

Lecture notes in mathematics 1617-9692 volume 2399

Language:

English

Subjects (All):

Stochastic differential equations--Numerical solutions.

Stochastic differential equations.

Functional differential equations.

Numerical analysis.

Physical Description:

1 online resource

Place of Publication:

Singapore Springer [2026]

Summary:

"This book presents the latest developments and progress in the numerical study of the stochastic functional differential equation, with a particular emphasis on the longtime asymptotics and probabilistic characteristics of numerical methods used to solve such equation. The longtime asymptotics under investigation include the time-independent convergence analysis in both the strong and weak senses, the numerical invariant measure, and the ergodicity of numerical methods. Additionally, the probabilistic characteristics of numerical solutions explored in this book encompass the density function, limit theorems, and the Freidlin–Wentzell type large deviation principle. The topics presented here lie at the intersection of several fascinating areas: numerical analysis, stochastic analysis, ergodicity theory, Malliavin calculus, large deviation theory, and probability theory, providing a rich framework to deepen our understanding of stochastic functional differential equations from both theoretical and numerical perspectives. This book will appeal to researchers interested in these topics"-- Springer Nature Link

Contents:

Stochastic functional differential equation

Mean-square convergence analysis in the infinite time horizon

Numerical invariant measure and weak convergence analysis in the infinite time horizon

Numerical central limit theorem

Numerical density function and convergence analysis

Large deviation principle of numerical solution

Notes:

Includes bibliographical references and index

Online resource; title from PDF title page (Springer Nature Link, viewed July 13, 2026)

Other Format:

Print version Chen, Chuchu Numerical analysis of stochastic functional differential equations

ISBN:

9789819215928

9819215927

OCLC:

1603184106

Access Restriction:

Restricted for use by site license