Continuous Strong Markov Processes in Dimension One
A Stochastic Calculus Approach
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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Produktdetails
Weitere Autoren: Schmidt, Wolfgang M.
- ISBN: 978-3-540-64465-1
- EAN: 9783540644651
- Produktnummer: 3497850
- Verlag: Springer Berlin Heidelberg
- Sprache: Englisch
- Erscheinungsjahr: 1998
- Seitenangabe: 152 S.
- Masse: H23.5 cm x B15.5 cm x D0.8 cm 242 g
- Auflage: 1998
- Abbildungen: Paperback
- Gewicht: 242
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