Limit Theorems for Stochastic Processes

Name: Limit Theorems for Stochastic Processes
SKU: 2108284
Price: 488.99 AUD
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Hardback

Series:

Grundlehren Der Mathematischen Wissenschaften

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Description

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.

Release date Australia

October 10th, 2002

Author

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Edition

2nd ed. 2003

Illustrations

XX, 664 p.

Pages

664

Series

Grundlehren Der Mathematischen Wissenschaften

Dimensions

156x234x36

ISBN-13

9783540439325

Product ID

2108284

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