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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.
Buchkauf
Continuous strong Markov processes in dimension one, Sigurd Assing
- Sprache
- Erscheinungsdatum
- 1998
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- Titel
- Continuous strong Markov processes in dimension one
- Sprache
- Englisch
- Autor*innen
- Sigurd Assing
- Verlag
- Springer
- Erscheinungsdatum
- 1998
- ISBN10
- 3540644652
- ISBN13
- 9783540644651
- Kategorie
- Mathematik
- Beschreibung
- 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.