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
-
Library, Research Institute for Mathematical Sciences, Kyoto University数研
pbk. : alk. paperL/N||LNM||1688RM980606
-
Hokkaido University, Library, Graduate School of Science, Faculty of Science and School of Science図書
pbk. : alk. paperDC21:519.2/As762070438853
-
No Libraries matched.
- Remove all filters.
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.
by "Nielsen BookData"