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Continuous Strong Markov Processes in Dimension One|Sigurd Assing

Continuous Strong Markov Processes in Dimension One : A Stochastic Calculus Approach

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Overview

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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Details

  • ISBN-13: 9783540644651
  • ISBN-10: 3540644652
  • Publisher: Springer
  • Publish Date: May 1998
  • Dimensions: 9.21 x 6.14 x 0.33 inches
  • Shipping Weight: 0.49 pounds
  • Page Count: 140

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