Limit Theorems for Stochastic Processes

Name: Limit Theorems for Stochastic Processes
Brand: Springer, Berlin
SKU: 9783642078767
Price: 935.81 RON
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Autor: Jean Jacod, Albert Shiryaev

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Editura: Springer, Berlin

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Initially the theory of convergence in law of stochastic processes was developed quite independently...

Informații despre carte

Autor

Jean Jacod, Albert Shiryaev

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2010

Pagini

661

EAN

9783642078767

ISBN

3642078761

Enbook ID

01652963

Editura

Springer, Berlin

Greutate

1020

Dimensiuni

155 x 235 x 32

Descriere completă

Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an introduction to the theory of martingales and semimartingales, random measures stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.

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