Singular Stochastic Differential Equations (Lecture Notes in Mathematics)
Edition: 1 edition
Publisher: Springer
Published: January 12, 2005
Language: eng
Format: Paperback
Number of pages: 128
ISBN-13: 9783540240075
Subjects: Mathematics; Science/Mathematics; General; Science; Computers - General Information; Computer Science; Probability & Statistics - General; 60-02, 60G17, 60H10, 60J25, 60J60; Mathematics / Statistics; classification of solutions; existence of solution; isolated singular points; stochastic differential equations; uniqueness of solution
First sentence: In this chapter, we consider general multidimensional SDEs of the form (1.1) given below.
Description: "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."--BOOK JACKET.