Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach (Lecture Notes in Mathematics): 1688 - Brossura

Assing, Sigurd

Brossura

ISBN 10: 3540644652 ISBN 13: 9783540644651

Casa editrice: Springer, 1998

Riassunto

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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Contenuti

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.

Product Description

Book by Assing Sigurd Schmidt Wolfgang M

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 1998
• Lingua: Inglese
• ISBN 10: 3540644652
• ISBN 13: 9783540644651
• Rilegatura: Copertina flessibile
• Numero di pagine: 152
• Contatto del produttore: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Germania