Presents local and global properties of stochastic differential equations under minimal assumptions (state of the art)
Shows the missing link between regularity theory of partial differential equations and stochastic differential equations
Provides the right framework for the analysis of stochastic differential equations with measurable coefficients
Keywords
- Itô-stochastic differential equations
- Regularity theory for elliptic partial differential equations
- Global uniqueness of solutions of Itô-SDE
- Long-time behavior of solutions
- Krylov estimates
Authors and Affiliations
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Department of Mathematics and Computer Science, Korea Science Academy of KAIST, Busan, Korea (Republic of)
Haesung Lee
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Institut für Mathematik, Technische Universität Berlin, Berlin, Germany
Wilhelm Stannat
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Department of Mathematical Sciences and Research Institute of Mathematics, Seoul National University, Seoul, Korea (Republic of)
Gerald Trutnau
About the authors
Dr. Haesung Lee is working at Department of Mathematics and Computer Science, Korea Science Academy of KAIST
Professor Wilhelm Stannat is working at Institut für Mathematik, Technische Universität Berlin.
Professor Gerald Trutnau is a full-professor at Department of Mathematical Sciences, Seoul National University.