Continuous strong Markov processes in dimension one : a stochastic calculus approach /
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...
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
[1998]
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| Series: | Lecture notes in mathematics (Springer-Verlag) ;
1688. |
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (xii, 135 pages) |
| Bibliography: | Includes bibliographical references (pages [133]-135) and index. |
| ISBN: | 9783540697862 (electronic bk.) 3540697861 (electronic bk.) |
| ISSN: | 0075-8434 ; |