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Continuous Strong Markov Processes in Dimension One

Continuous Strong Markov Processes in Dimension One A Stochastic Calculus Approach

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Lecture Notes in Mathematics

Continuous Strong Markov Processes in Dimension One

A Stochastic Calculus Approach

Sigurd Assing | Wolfgang M. Schmidt

Mathematics / Probability & Statistics / General

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.

Publication Date: 20 May 1998
Publisher: Springer Berlin Heidelberg
Imprint: Springer
ISBN-13: 9783540644651
Format: Paperback softback
Page Count: 140

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