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Continuous Strong Markov Processes in Dimension One
Sigurd AssingWolfgang M. Schmidt
其他書名
A Stochastic Calculus Approach
出版Springer, 2006-11-14
主題Mathematics / Probability & Statistics / GeneralMathematics / Probability & Statistics / Stochastic Processes
ISBN35406978619783540697862
URLhttp://books.google.com.hk/books?id=zO97CwAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋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.