Continuous Strong Markov Processes in Dimension One

A stochastic calculus approach

  • Authors
  • Sigurd Assing
  • Wolfgang M. Schmidt

Part of the Lecture Notes in Mathematics book series (LNM, volume 1688)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Sigurd Assing, Wolfgang M. Schmidt
    Pages 1-13
  3. Sigurd Assing, Wolfgang M. Schmidt
    Pages 15-25
  4. Sigurd Assing, Wolfgang M. Schmidt
    Pages 27-32
  5. Sigurd Assing, Wolfgang M. Schmidt
    Pages 33-52
  6. Sigurd Assing, Wolfgang M. Schmidt
    Pages 53-77
  7. Sigurd Assing, Wolfgang M. Schmidt
    Pages 79-102
  8. Back Matter
    Pages 119-138

About this book


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.


Markov process Martingale Semimartingale Stochastic calculus calculus

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1998
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-64465-1
  • Online ISBN 978-3-540-69786-2
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • Buy this book on publisher's site
Industry Sectors
IT & Software
Finance, Business & Banking
Energy, Utilities & Environment
Oil, Gas & Geosciences