Jacod Jean, Shiryaev Albert N. Limit Theorems for Stochastic Processes 9783540439325

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Автор: Jacod Jean, Shiryaev Albert N.
Название: Limit Theorems for Stochastic Processes
Перевод названия: Жан Жакод: Предельные теоремы для случайных процессов
ISBN: 9783540439325
Издательство: Springer
Классификация:

Вероятность и статистика

Прикладная математика

Стохастика

ISBN-10: 3540439323
Обложка/Формат: Hardback
Страницы: 681
Вес: 1.12 кг.
Дата издания: 10.10.2002
Серия: Die grundlehren der mathematischen wissenschaften
Язык: English
Издание: 2nd ed. 2003
Иллюстрации: References, indexes
Размер: 243 x 165 x 44
Читательская аудитория: Postgraduate, research & scholarly
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: 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. The second edition contains some additions to the text and references. Some parts are completely rewritten.
Дополнительное описание: Формат: 235x155
Круг читателей: Researchers and graduate students of pure and appliedprobability and mathematical statistics
Ключевые слова: Convergence of processes
Semimartingales
Stochastic integrals
absolute continuity
central limit theorem
contiguity
Язык: eng
Издание: 2nd ed.
Оглавление: The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals.- Characteristics of Semimartingales and Processes with Independent Increments.- Martingale Problems and Changes of Measures.- Hellinger Processes, Absolute Continuity and Singularity of Measures.- Contiguity, Entire Separation, Convergence in Variation.- Skorokhod Topology and Convergence of Processes.- Convergence of Processes with Independent Increments.- Convergence to a Process with Independent Increments.- Convergence to a Semimartingale.- Limit Theorems, Density Processes and Contiguity.- Bibliographical Comments.- References.- Index of Symbols.- Index of Terminology.- Index of Topics.- Index of Conditions for Limit Theorems.

Limit Theorems for Stochastic Processes, Jacod Jean, Shiryaev Albert N.