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.
Inhaltsverzeichnis
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.
