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  • © 2022

Analytic Theory of Itô-Stochastic Differential Equations with Non-smooth Coefficients

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  • 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

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About this book


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

  • Department of Mathematics and Computer Science, Korea Science Academy of KAIST, Busan, Korea (Republic of)

    Haesung Lee

  • Institut für Mathematik, Technische Universität Berlin, Berlin, Germany

    Wilhelm Stannat

  • 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. 

Bibliographic Information

Buying options

Softcover Book
USD 54.99
Price excludes VAT (USA)
This title has not yet been released. You will be able to pre-order it soon.