Singular stochastic differential equations

Author(s)

• Cherny, Alexander S.
• Engelbert, Hans Jürgen

Bibliographic Information

Singular stochastic differential equations

Alexander S. Cherny, Hans-Jürgen Engelbert

（Lecture notes in mathematics, 1858）

Springer, c2005

Note

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

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

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Description and Table of Contents

Description

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.

Table of Contents

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.

by "Nielsen BookData"

Details

• NCID: BA70123337
• ISBN:
  • 3540240071
• LCCN: 2004115716
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Berlin
• Pages/Volumes: viii, 128 p.
• Size: 24 cm
• Parent Bibliography ID:
  • BA00146586