Singular Stochastic Differential Equations

• Main Authors: Cherny, Alexander S. (Author), Engelbert, Hans-Jürgen (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
• Series: Lecture Notes in Mathematics, 1858
• Subjects: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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. Howe...

Table of 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.