Continuous Strong Markov Processes in Dimension One
A Stochastic Calculus Approach
(Sprache: Englisch)
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...
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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 discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.
Inhaltsverzeichnis zu „Continuous Strong Markov Processes in Dimension One “
- Preface.- Basic Concepts and Preparatory Results.
- Classification of the Points of the State Space.
- Weakly Additive Functionals and Time Change of Strong Markov Processes.
- Semimartingale Decomposition of Continuous Strong Markov Semimartingales.
- Occupation Time Formula.
- Construction of Continuous Strong Markov Processes.
- Continuous Strong Markov Semimartingales as Solutions of Stochastic Differential Equations.
- Appendix 1.
- Appendix 2.
- References.
- Index.
- Symbols..
Bibliographische Angaben
- Autoren: Sigurd Assing , Wolfgang M. Schmidt
- 1998, 1998, 140 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer
- ISBN-10: 3540644652
- ISBN-13: 9783540644651
- Erscheinungsdatum: 20.05.1998
Sprache:
Englisch
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