Customer Reviews

Random Dynamical Systems: Theory and Applications

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This book is a serviceable treatment of dynamics in general. The first chapter covers discrete, deterministic dynamical systems and chaos. The second chapter is independent from the first and covers the general theory of Markov processes. The third chapter introduces (Markovian) random dynamical systems. The fourth chapter is on special cases of random dynamical systems. The fifth chapter covers some asymptotic stationarity results. The last chapter is on stochastic dynamic programming.

There are a few typos in the book and the way it has been typeset remind me of a draft rather than a final, polished textbook. The book is probably an OK entry point into the field if you have a solid background in undergraduate analysis and are already familiar with measure theory and probability. The exposition becomes quite dry and hard to follow as the book goes on. There are exercises in the book but they tend to be either too easy or too open ended. There are no solutions.

The book has definitely been written with economics in mind, almost all examples are derived from economics. Having said that, they're not particularly interesting examples. All in all, this is a good but not stellar book. It's hard to put my finger on it, but the book just didn't "excite" me enough.