Continuous strong Markov processes in dimension one : a stochastic calculus approach /
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| Author / Creator: | Assing, Sigurd, 1965- |
|---|---|
| Imprint: | Berlin ; New York : Springer, ©1998. |
| Description: | 1 online resource (xii, 135 pages). |
| Language: | English |
| Series: | Lecture notes in mathematics, 0075-8434 ; 1688 Lecture notes in mathematics (Springer-Verlag) ; 1688. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11065990 |
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| 100 | 1 | |a Assing, Sigurd, |d 1965- |0 http://id.loc.gov/authorities/names/n98036741 |1 http://viaf.org/viaf/69249027 | |
| 245 | 1 | 0 | |a Continuous strong Markov processes in dimension one : |b a stochastic calculus approach / |c Sigurd Assing, Wolfgang M. Schmidt. |
| 260 | |a Berlin ; |a New York : |b Springer, |c ©1998. | ||
| 300 | |a 1 online resource (xii, 135 pages). | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Lecture notes in mathematics, |x 0075-8434 ; |v 1688 | |
| 504 | |a Includes bibliographical references (pages 133-135) and index. | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Basic concepts and preparatory results -- Classification of the points of the state space -- Weakly additive functionals and time change of strong Markov processes -- Semimartingale decomposition of continuous strong Markov semimartingales -- Occupation time formula -- Construction of continuous strong Markov processes -- Continuous strong Markov semimartingales as solutions of stochastic differential equations. | |
| 650 | 0 | |a Markov processes. |0 http://id.loc.gov/authorities/subjects/sh85081369 | |
| 650 | 0 | |a Stochastic integral equations. |0 http://id.loc.gov/authorities/subjects/sh85128179 | |
| 650 | 6 | |a Markov, Processus de. | |
| 650 | 6 | |a Équations intégrales stochastiques. | |
| 650 | 7 | |a Markov processes. |2 fast |0 (OCoLC)fst01010347 | |
| 650 | 7 | |a Stochastic integral equations. |2 fast |0 (OCoLC)fst01133511 | |
| 650 | 1 | 7 | |a Markov-processen. |2 gtt |
| 650 | 1 | 7 | |a Stochastische processen. |2 gtt |
| 650 | 0 | 7 | |a Stetiger Markov-Prozess. |2 swd |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Schmidt, W. |q (Wolfgang), |d 1957- |0 http://id.loc.gov/authorities/names/no2015053903 |1 http://viaf.org/viaf/59255598 | |
| 776 | 0 | 8 | |i Print version: |a Assing, Sigurd, 1965- |t Continuous strong Markov processes in dimension one. |d Berlin ; New York : Springer, ©1998 |z 3540644652 |w (DLC) 98022867 |w (OCoLC)39033440 |
| 830 | 0 | |a Lecture notes in mathematics (Springer-Verlag) ; |v 1688. | |
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