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

• Main Authors: Assing, Sigurd (Author, http://id.loc.gov/vocabulary/relators/aut), Schmidt, Wolfgang M. (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1998.
• Edition: 1st ed. 1998.
• Series: Lecture Notes in Mathematics, 1688
• Subjects: Probabilities.; Statistics .; Probability Theory and Stochastic Processes.; Statistical Theory and Methods.

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...

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.