Continuous Strong Markov Processes in Dimension One

A Stochastic Calculus Approach

von Sigurd Assing, Wolfgang M. Schmidt

140 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: Lecture Notes in Mathematics
• ISBN: 9783540644651
• Sprache: Englisch
• Erscheinungsdatum: 20.05.1998
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer Berlin