Singular stochastic differential equations.

DOI10.1007/b104187zbMath1071.60003OpenAlexW643283668MaRDI QIDQ1762573

Alexander S. Cherny, Hans-Jürgen Engelbert

Publication date: 10 February 2005

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b104187

zbMATH Keywords

diffusion processesbranch pointsexistence and uniqueness of weak and strong solutions(isolated) singular pointspower stochastic differential equations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Sample path properties (60G17) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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