Itô's theory of excursion point processes and its developments (Q972810): Difference between revisions

The author systematically expounds the modern state of theory of point processes with values in functional spaces. In Section 2 its defined stochastic integral on base of stationary Poisson point processes. This allows to obtain the canonical and non-canonical Levy-Ito representations of Levy processes and representation of general SDE. The SDE is considered as pathwise solution of the special stochastic integral equation. The excursion point processes of Brownian positive (negative) excursion are considered too. The Section 3, 4 are devoted to construction of excursion point processes associated with one-dimensional (multi-dimensional) diffusion processes satisfying Feller's (Wentzell'z) boundary conditions. The exposition is accompanied by examples and historical comments.