Continuous Strong Markov Processes in Dimension One
ISBN: 9783540697862
Platform/Publisher: SpringerLink / Springer Berlin Heidelberg
Digital rights: Users: unlimited; Printing: unlimited; Download: unlimited
Subjects: Mathematics and Statistics;

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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