AuthorLiptser, R. Sh. author
TitleTheory of Martingales [electronic resource] / by R. Sh. Liptser, A. N. Shiryayev
ImprintDordrecht : Springer Netherlands, 1989
Connect tohttp://dx.doi.org/10.1007/978-94-009-2438-3
Descript XIV, 792 p. online resource

CONTENT

I -- 1. Basic Concepts and the Review of Results of ยซThe General Theory of Stochastic Processesยป -- 2. Semimartingales. I. Stochastic Integral -- 3. Random Measures and their Compensators -- 4. Semimartingales. II Canonical Representation -- II -- 5. Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments -- 6. The Space D. Relative Compactness of Probability Distributions of Semimartingales -- 7. Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments -- 8. Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale -- III -- 9. Invariance Principle and Diffusion Approximation for Models Generated by Stationary Processes -- 10. Diffusion Approximation for Semimartingales with a Normal Reflexion in a Convex Region -- Historic-Bibliographical notes


SUBJECT

  1. Mathematics
  2. Probabilities
  3. Statistical physics
  4. Dynamical systems
  5. Electrical engineering
  6. Mathematics
  7. Probability Theory and Stochastic Processes
  8. Statistical Physics
  9. Dynamical Systems and Complexity
  10. Electrical Engineering