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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.
| Autorius: | Wolfgang M. Schmidt, Sigurd Assing, |
| Serija: | Lecture Notes in Mathematics |
| Leidėjas: | Springer Berlin Heidelberg |
| Išleidimo metai: | 1998 |
| Knygos puslapių skaičius: | 152 |
| ISBN-10: | 3540644652 |
| ISBN-13: | 9783540644651 |
| Formatas: | 235 x 155 x 9 mm. Knyga minkštu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach“
