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Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach

Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach (Paperback)

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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.

Science & MathematicsMathematicsCalculus & mathematical analysisCalculusScience & MathematicsMathematicsProbability & statistics Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Publication Date: 20/05/1998 ISBN-13: 9783540644651  Details: Type: Paperback Format: Books
Availability: Printed to order. Despatched in 2-3 weeks.  

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