ENGLISH

Singular Stochastic Differential Equations

By Alexander S. Cherny , Hans-Jürgen Engelbert (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2005
ISBN
3540240071, 9783540240075
DOI
10.1007/b104187
Open Library ID
OL9055175M
Language
english
Format
PDF
Filesize
2 MB (2048696 bytes)
Series
Lecture Notes in Mathematics 1858
Edition
1
Pages
128\125
Time added
2011-01-06 10:13:16
Probability Theory and Stochastic Processes

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.

Similar books