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Singular Stochastic Differential Equations

Singular Stochastic Differential Equations

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Lecture Notes in Mathematics

Singular Stochastic Differential Equations

Alexander S. Cherny | Hans-Jürgen Engelbert

Mathematics / Probability & Statistics / General

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.


Publication Date: 02 December 2004
Publisher: Springer Berlin Heidelberg
Imprint: Springer
ISBN-13: 9783540240075
Format: Paperback / softback
Page Count: 128

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