Singular Stochastic Differential Equations / by Alexander S. Cherny, Hans-Jürgen Engelbert.

Format:

Book

Author/Creator:

Cherny, Alexander S., author.

Engelbert, Hans Jürgen, author.

Contributor:

SpringerLink (Online service)

Series:

Lecture Notes in Mathematics, 0075-8434 ; 1858.

Lecture Notes in Mathematics, 0075-8434 ; 1858

Language:

English

Subjects (All):

Distribution (Probability theory).

Probability Theory and Stochastic Processes.

Local Subjects:

Probability Theory and Stochastic Processes.

Physical Description:

1 online resource (VIII, 128 pages).

Contained In:

Springer eBooks

Place of Publication:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.

System Details:

text file PDF

Summary:

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.

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.

Other Format:

Printed edition:

ISBN:

9783540315605

Access Restriction:

Restricted for use by site license.