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Continuous Strong Markov Processes in Dimension One - A Stochastic Calculus Approach (Paperback, 1998 ed.): Sigurd Assing,... Continuous Strong Markov Processes in Dimension One - A Stochastic Calculus Approach (Paperback, 1998 ed.)
Sigurd Assing, Wolfgang M. Schmidt
R1,186 Discovery Miles 11 860 Ships in 10 - 15 working days

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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