Continuous strong Markov processes in dimension one : a stochastic calculus approach / / Sigurd Assing, Wolfgang M. Schmidt

• Autore: Assing Sigurd <1965->
• Pubblicazione: Berlin : , : Springer, , [1998]; ©1998
• Edizione: 1st ed. 1998.
• Descrizione fisica: 1 online resource (XII, 140 p.)
• Disciplina: 519.233
• Soggetto topico: Markov processes; Stochastic integral equations
• Persona (resp. second.): SchmidtW <1957-> (Wolfgang)
• Note generali: Bibliographic Level Mode of Issuance: Monograph
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: Continuous strong Markov processes in dimension one
• ISBN: 3-540-69786-1
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910146302003321
• Lo trovi qui: Univ. Federico II
• Serie: Lecture notes in mathematics (Springer-Verlag) ; ; 1688.