Singular Stochastic Differential Equations: 1858 (Lecture Notes in Mathematics, 1858) - Softcover

Cherny, Alexander S.; Engelbert, Hans-Jürgen

Softcover

ISBN 10: 3540240071 ISBN 13: 9783540240075

Publisher: Springer, 2004

Synopsis

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.

About this title

From the Back Cover

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.

Edition details

• Publisher: Springer
• Publication date: 2004
• Language: English
• ISBN 10: 3540240071
• ISBN 13: 9783540240075
• Binding: Paperback
• Number of pages: 136