Continuous Strong Markov Processes in Dimension One A Stochastic Calculus Approach |
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| Author:
| Assing, Sigurd
Schmidt, W. |
| Editor:
| Dold, A.
Takens, F.
Teissier, Bernard |
| Series title: | Lecture Notes in Mathematics Ser. |
| ISBN: | 978-3-540-64465-1 |
| Publication Date: | May 1998 |
| Publisher: | Springer Berlin / Heidelberg
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $39.95USD $39.95 |
Book Description:
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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...
More DescriptionThe 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.