Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach

By Sigurd Assing and Wolfgang M. Schmidt

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.

• Format: Paperback
• Language: English
• ISBN: 3540644652
• ISBN13: 9783540644651
• Release Date: May 1998
• Publisher: Springer
• Length: 140 Pages
• Weight: 0.49 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"