Continuous Strong Markov Processes in Dimension One : A stochastic calculus approach / by Sigurd Assing, Wolfgang M. Schmidt.

Format:

Book

Author/Creator:

Assing, Sigurd, 1965- author.

Schmidt, Wolfgang M., author.

Contributor:

SpringerLink (Online service)

Series:

Lecture Notes in Mathematics, 0075-8434 ; 1688.

Lecture Notes in Mathematics, 0075-8434 ; 1688

Language:

English

Subjects (All):

Distribution (Probability theory).

Mathematical statistics.

Probability Theory and Stochastic Processes.

Statistical Theory and Methods.

Local Subjects:

Probability Theory and Stochastic Processes.

Statistical Theory and Methods.

Physical Description:

1 online resource (XII, 140 pages).

Contained In:

Springer eBooks

Place of Publication:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1998.

System Details:

text file PDF

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.

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.

Other Format:

Printed edition:

ISBN:

9783540697862

Access Restriction:

Restricted for use by site license.