Continuous Strong Markov Processes in Dimension One 1

Vetenskap & teknik

Continuous Strong Markov Processes in Dimension One

Sigurd Assing • Wolfgang M Schmidt

Pocket

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140 sidor
1998

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.

Författare: Sigurd Assing, Wolfgang M Schmidt
Format: Pocket/Paperback
ISBN: 9783540644651
Språk: Engelska
Antal sidor: 140
Utgivningsdatum: 1998-05-01
Förlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K