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Record Nr. |
UNINA9910146302003321 |
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Autore |
Assing Sigurd <1965-> |
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Titolo |
Continuous strong Markov processes in dimension one : a stochastic calculus approach / / Sigurd Assing, Wolfgang M. Schmidt |
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Pubbl/distr/stampa |
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Berlin : , : Springer, , [1998] |
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©1998 |
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ISBN |
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Edizione |
[1st ed. 1998.] |
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Descrizione fisica |
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1 online resource (XII, 140 p.) |
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Collana |
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Lecture notes in mathematics ; ; 1688 |
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Disciplina |
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Soggetti |
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Markov processes |
Stochastic integral equations |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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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. |
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Sommario/riassunto |
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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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