Overview
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Mathematics (LNM, volume 1858)
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Table of contents (9 chapters)
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Front Matter
Keywords
About this book
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.
Reviews
From the reviews:
"The main aim of this outstanding research monograph on stochastic differential equations is to introduce a class of points termed isolated singular points. … The book studies the existence, the uniqueness, and the qualitative behaviour of solutions of singular stochastic differential equations." (Pavel Gapeev, Zentralblatt MATH, Vol. 1071, 2005)
"Cherny and Engelbert’s book is a research monograph, devoted predominantly to the author’s recent deep results, it is written very carefully, in a lucid and precise way, and contains many illustrating examples. The authors have managed to keep it surprisingly self-contained. In my opinion, it is necessary reading for everybody who wishes to understand one-dimensional diffusions thoroughly." (Jan I. Seidler, Mathematical Reviews, Issue 2005 j)
Bibliographic Information
Book Title: Singular Stochastic Differential Equations
Authors: Alexander S. Cherny, Hans-Jürgen Engelbert
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/b104187
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2005
Softcover ISBN: 978-3-540-24007-5Published: 02 December 2004
eBook ISBN: 978-3-540-31560-5Published: 15 November 2004
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: VIII, 128