Continuous strong Markov processes in dimension one : a stochastic calculus approach /
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| Author / Creator: | Assing, Sigurd, 1965- |
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| Imprint: | New York : Springer, 1998. |
| Description: | xii, 135 p. |
| Language: | English |
| Series: | Lecture notes in mathematics, 0075-8434 ; 1688 Lecture notes in mathematics (Springer-Verlag) ; 1688. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/3154566 |
| Summary: | 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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| Physical Description: | xii, 135 p. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 3540644652 |
| ISSN: | 0075-8434 ; |
