Singular stochastic differential equations

著者

• Cherny, Alexander S.
• Engelbert, Hans Jürgen

書誌事項

Singular stochastic differential equations

Alexander S. Cherny, Hans-Jürgen Engelbert

（Lecture notes in mathematics, 1858）

Springer, c2005

注記

Includes bibliographical references (p. [119]-121) and indexes

HTTP:URL=http://dx.doi.org/10.1007/b104187

HTTP:URL=http://www.loc.gov/catdir/enhancements/fy0663/2004115716-d.html Information=Publisher description

HTTP:URL=http://www.loc.gov/catdir/toc/fy0716/2004115716.html Information=Table of contents

内容説明・目次

内容説明

The authors introduce, in this research monograph on stochastic differential equations, a class of points termed isolated singular points. Stochastic differential equations possessing such points (called singular stochastic differential equations here) arise often in theory and in applications. However, known conditions for the existence and uniqueness of a solution typically fail for such equations. The book concentrates on the study of the existence, the uniqueness, and, what is most important, on the qualitative behaviour of solutions of singular stochastic differential equations. This is done by providing a qualitative classification of isolated singular points, into 48 possible types.

目次

Introduction.- 1. Stochastic Differential Equations.- 2. One-Sided Classification of Isolated Singular Points.- 3. Two-Sided Classification of Isolated Singular Points.- 4. Classification at Infinity and Global Solutions.- 5. Several Special Cases.- Appendix A: Some Known Facts.- Appendix B: Some Auxiliary Lemmas.- Rferences.- Index of Notation.- Index of Terms.

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詳細情報

• NII書誌ID(NCID): BA70123337
• ISBN:
  • 3540240071
• LCCN: 2004115716
• 出版国コード: gw
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Berlin
• ページ数/冊数: viii, 128 p.
• 大きさ: 24 cm
• 親書誌ID:
  • BA00146586