Continuous strong Markov processes in dimension one : a stochastic calculus approach
Author(s)
Bibliographic Information
Continuous strong Markov processes in dimension one : a stochastic calculus approach
（Lecture notes in mathematics, 1688）
Springer, c1998
- : pbk
Available at 93 libraries
Note
Includes bibliographical references (p. [133]-135) and index
Description and Table of Contents
Description
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.
Table of Contents
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.
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