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Continuous Strong Markov Processes in Dimension One [electronic resource] : A stochastic calculus approach /
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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| Main Authors: | , , |
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| Format: | Texto biblioteca |
| Language: | eng |
| Published: |
Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer,
1998
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| Subjects: | Mathematics., Probabilities., Statistics., Probability Theory and Stochastic Processes., Statistical Theory and Methods., |
| Online Access: | http://dx.doi.org/10.1007/BFb0096151 |
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