Limit Theorems for Stochastic Processes (Grundlehren der mathematischen Wissenschaften 288 Softcover reprint of hardcover 2nd ed. 2003)

Limit Theorems for Stochastic Processes (Grundlehren der mathematischen Wissenschaften 288 Softcover reprint of hardcover 2nd ed. 2003)

By: Jean Jacod (author), Albert N. Shiryaev (author)Paperback

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Description

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.

Contents

I. The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals.- II. Characteristics of Semimartingales and Processes with Independent Increments.- III. Martingale Problems and Changes of Measures.- IV. Hellinger Processes, Absolute Continuity and Singularity of Measures.- V. Contiguity, Entire Separation, Convergence in Variation.- VI. Skorokhod Topology and Convergence of Processes.- VII. Convergence of Processes with Independent Increments.- VIII. Convergence to a Process with Independent Increments.- IX. Convergence to a Semimartingale.- X. Limit Theorems, Density Processes and Contiguity.- Bibliographical Comments.- References.- Index of Symbols.- Index of Terminology.- Index of Topics.- Index of Conditions for Limit Theorems.

Product Details

  • ISBN13: 9783642078767
  • Format: Paperback
  • Number Of Pages: 664
  • ID: 9783642078767
  • weight: 1038
  • ISBN10: 3642078761
  • edition: Softcover reprint of hardcover 2nd ed. 2003

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