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

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

Paperback

Series: Lecture Notes in Mathematics, Book 1688

Probability & Statistics

ISBN10: 3540644652
ISBN13: 9783540644651
Publisher: Springer
Published: May 20 1998
Pages: 140
Weight: 0.49
Height: 0.33 Width: 6.14 Depth: 9.21
Language: English
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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