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Singular stochastic differential equations
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...
Autores principales: | , |
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Lenguaje: | eng |
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Springer
2005
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Acceso en línea: | https://dx.doi.org/10.1007/b104187 http://cds.cern.ch/record/1690680 |
_version_ | 1780935617827307520 |
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author | Cherny, Alexander S Engelbert, Hans-Jürgen |
author_facet | Cherny, Alexander S Engelbert, Hans-Jürgen |
author_sort | Cherny, Alexander S |
collection | CERN |
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. |
id | cern-1690680 |
institution | Organización Europea para la Investigación Nuclear |
language | eng |
publishDate | 2005 |
publisher | Springer |
record_format | invenio |
spelling | cern-16906802021-04-21T21:14:06Zdoi:10.1007/b104187http://cds.cern.ch/record/1690680engCherny, Alexander SEngelbert, Hans-JürgenSingular stochastic differential equationsMathematical Physics and MathematicsThe 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.Springeroai:cds.cern.ch:16906802005 |
spellingShingle | Mathematical Physics and Mathematics Cherny, Alexander S Engelbert, Hans-Jürgen Singular stochastic differential equations |
title | Singular stochastic differential equations |
title_full | Singular stochastic differential equations |
title_fullStr | Singular stochastic differential equations |
title_full_unstemmed | Singular stochastic differential equations |
title_short | Singular stochastic differential equations |
title_sort | singular stochastic differential equations |
topic | Mathematical Physics and Mathematics |
url | https://dx.doi.org/10.1007/b104187 http://cds.cern.ch/record/1690680 |
work_keys_str_mv | AT chernyalexanders singularstochasticdifferentialequations AT engelberthansjurgen singularstochasticdifferentialequations |