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: | , |
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Format: | eBook |
Language: | English |
Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1998, 1998
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Edition: | 1st ed. 1998 |
Series: | Lecture Notes in Mathematics
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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