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Continuous Strong Markov Processes in Dimension One A Stochastic Calculus Approach

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...

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Bibliographic Details
Main Authors: Assing, Sigurd, Schmidt, Wolfgang M. (Author)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 1998, 1998
Edition:1st ed. 1998
Series:Lecture Notes in Mathematics
Subjects:
Statistical Theory And Methods
Statistics 
Probability Theory And Stochastic Processes
Probabilities
Online Access:
Collection: Springer Book Archives -2004 - Collection details see MPG.ReNa
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100 1 |a Assing, Sigurd 
245 0 0 |a Continuous Strong Markov Processes in Dimension One  |h Elektronische Ressource  |b A Stochastic Calculus Approach  |c by Sigurd Assing, Wolfgang M. Schmidt 
250 |a 1st ed. 1998 
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300 |a XII, 140 p  |b online resource 
505 0 |a 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 
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653 |a Statistics  
653 |a Probability Theory and Stochastic Processes 
653 |a Probabilities 
700 1 |a Schmidt, Wolfgang M.  |e [author] 
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490 0 |a Lecture Notes in Mathematics 
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082 0 |a 519.2 
520 |a 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 

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