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Beschreibung
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.
A Stochastic Calculus Approach
Details
| Verlag | Springer Berlin |
| Ersterscheinung | 20. Mai 1998 |
| Maße | 23.5 cm x 15.5 cm |
| Gewicht | 242 Gramm |
| Format | Softcover |
| ISBN-13 | 9783540644651 |
| Seiten | 140 |
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