Analytic theory of Itô-stochastic differential equations with non-smooth coefficients / Haesung Lee, Wilhelm Stannat, Gerald Trutnau.
This book provides analytic tools to describe local and global behavior of solutions to Ito-stochastic differential equations with non-degenerate Sobolev diffusion coefficients and locally integrable drift. Regularity theory of partial differential equations is applied to construct such solutions an...
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Full Text (via Springer) |
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| Main Authors: | , , |
| Format: | eBook |
| Language: | English |
| Published: |
Singapore :
Springer,
2022.
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| Series: | Springer briefs in probability and mathematical statistics.
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| Subjects: |
Table of Contents:
- Chapter 1. Introduction
- Chapter 2. The abstract Cauchy problem in Lr-spaces with weights
- Chapter 3.Stochastic differential equations
- Chapter 4. Conclusion and outlook.