Lecture Notes in Mathematics
Continuous Strong Markov Processes in Dimension One
A Stochastic Calculus Approach
Sigurd Assing | Wolfgang M. Schmidt
Mathematics / Probability & Statistics / General
The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.
| Publication Date: |
20 May 1998 |
| Publisher: |
Springer Berlin Heidelberg |
| Imprint: |
Springer |
| ISBN-13: |
9783540644651 |
| Format: |
Paperback softback |
| Page Count: |
140 |