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Continuous Strong Markov Processes in Dimension One: A Stochastic Calculus Approach: Lecture Notes in Mathematics, cartea 1688

Autor Sigurd Assing, Wolfgang M. Schmidt
en Limba Engleză Paperback – 20 mai 1998
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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Specificații

ISBN-13: 9783540644651
ISBN-10: 3540644652
Pagini: 152
Ilustrații: XII, 140 p.
Dimensiuni: 155 x 235 x 8 mm
Greutate: 0.22 kg
Ediția:1998
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Mathematics

Locul publicării:Berlin, Heidelberg, Germany

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Research

Cuprins

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.