Advertisement

Singular Stochastic Differential Equations

  • Authors
  • Alexander S. Cherny
  • Hans-Jürgen Engelbert

Part of the Lecture Notes in Mathematics book series (LNM, volume 1858)

Table of contents

  1. Front Matter
    Pages I-VIII
  2. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 1-4
  3. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 5-25
  4. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 27-64
  5. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 65-79
  6. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 81-91
  7. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 93-103
  8. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 105-118
  9. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 119-121
  10. Alexander S. Cherny, Hans-Jürgen Engelbert
    Pages 123-128

About this book

Introduction

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.

Keywords

classification of solutions equation existence of solution isolated singular points stochastic differential equation stochastic differential equations uniqueness of solution

Bibliographic information

  • DOI https://doi.org/10.1007/b104187
  • Copyright Information Springer-Verlag Berlin Heidelberg 2005
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-24007-5
  • Online ISBN 978-3-540-31560-5
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • Buy this book on publisher's site
Industry Sectors
Pharma
Biotechnology
Finance, Business & Banking
IT & Software
Telecommunications
Consumer Packaged Goods
Aerospace
Oil, Gas & Geosciences
Engineering