Lecture Notes in Mathematics: A Stochastic Calculus Approach

Assing, Sigurd; Schmidt, Wolfgang M.

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.

Details

Published by: Springer

Publication Date: 1998-05-20

Format: Paperback

ISBN-13: 9783540644651

DOI: 10.1007/BFb0096151

Dimensions: 235cm x155cm

Pages: 140