Sigurd Assing, Wolfgang M. Schmidt

Continuous Strong Markov Processes in Dimension One (eBook, PDF)

A Stochastic Calculus Approach

• Format: PDF

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

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 140
• Erscheinungstermin: 14. November 2006
• Englisch
• ISBN-13: 9783540697862
• Artikelnr.: 53203943

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.