Limit Theorems for Stochastic Processes: 288 - Rilegato

Jacod, Jean; Shiriaev, Albert Nikolaevich; Shiryaev, N.

Rilegato

ISBN 10: 3540439323 ISBN 13: 9783540439325

Casa editrice: Springer Nature, 2002

Riassunto

This volume by two international leaders in the field proposes a systematic exposition of convergence in law for stochastic processes from the point of view of semimartingale theory. It emphasizes results that are useful for mathematical theory and mathematical statistics. Coverage develops in detail useful parts of the general theory of stochastic processes, such as martingale problems and absolute continuity or contiguity results.

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Dalla quarta di copertina

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.

Dettagli dell'edizione

• Editore: Springer Nature
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 3540439323
• ISBN 13: 9783540439325
• Rilegatura: Copertina rigida
• Numero di pagine: 660
• Contatto del produttore: non disponibile
• Persona responsabile: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3,69115 Heidelberg, Germany; Heidelberg; 69115; Germania