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...
| Main Authors: | , |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1998, 1998
|
| Edition: | 1st ed. 1998 |
| Series: | Lecture Notes in Mathematics
|
| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 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