Author | Liptser, R. Sh. author |
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Title | Theory of Martingales [electronic resource] / by R. Sh. Liptser, A. N. Shiryayev |
Imprint | Dordrecht : Springer Netherlands, 1989 |
Connect to | http://dx.doi.org/10.1007/978-94-009-2438-3 |
Descript | XIV, 792 p. online resource |
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