Sigurd Assing,
Wolfgang M. Schmidt
Continuous Strong Markov Processes in Dimension One
A Stochastic Calculus Approach
Paperback Engels 1998 9783540644651Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783540644651
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:140
Uitgever:Springer Berlin Heidelberg
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Inhoudsopgave
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.
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