E-Book, Englisch, Band 1688, 140 Seiten, eBook
Reihe: Lecture Notes in Mathematics
Assing / Schmidt Continuous Strong Markov Processes in Dimension One
1998
ISBN: 978-3-540-69786-2
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
A Stochastic Calculus Approach
E-Book, Englisch, Band 1688, 140 Seiten, eBook
Reihe: Lecture Notes in Mathematics
ISBN: 978-3-540-69786-2
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
