Continuous Strong Markov Processes in Dimension One

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Continuous Strong Markov Processes in Dimension One
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.

More from the series "Lecture Notes in Mathematics"

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80 % of the price goes directly to the author.

ISBN: 9783540644651

Language: English

Publication date: 20.05.1998

Number of pages: 140

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