Sigurd Assing, Wolfgang M. Schmidt

Continuous Strong Markov Processes in Dimension One

A Stochastic Calculus Approach

• Broschiertes Buch

Produktbeschreibung

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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Produktdetails

• Lecture Notes in Mathematics 1688
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-540-64465-1
• 1998.
• Seitenzahl: 152
• Erscheinungstermin: 20. Mai 1998
• Englisch
• Abmessung: 235mm x 155mm x 9mm
• Gewicht: 260g
• ISBN-13: 9783540644651
• ISBN-10: 3540644652
• Artikelnr.: 09194834

Inhaltsangabe

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.