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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


Mathematics Probabilities Statistical physics Dynamical systems Electrical engineering Mathematics Probability Theory and Stochastic Processes Statistical Physics Dynamical Systems and Complexity Electrical Engineering



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