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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语言 英语 ● 格式 PDF ● ISBN 9783540697862 ● 出版者 Springer Berlin Heidelberg ● 发布时间 2006 ● 下载 3 时 ● 货币 EUR ● ID 6319835 ● 复制保护 Adobe DRM
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