Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach: 1688 (Lecture Notes in Mathematics, 1688) - Softcover
Synopsis
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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Continuous strong Markov processes in dimension one. A stochastic calculus approach.
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