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

ISBN-13: 9783540644651 / Angielski / Miękka / 1998 / 140 str.

Sigurd Assing; W. Schmidt; S. Assing

Opis

A study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. It provides a unified investigation of regular as well as arbitrary non-regular diffusions and a general construction method for such processes.

Spis treści

Preface.- 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.- Appendix 1.- Appendix 2.- References.- Index.- Symbols.