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Limit Theorems for Stochastic Processes [Hardcover]

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Item description for Limit Theorems for Stochastic Processes by Jean Jacod, Albert Nikolaevich Shiriaev & N. Shiryaev...

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.

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Item Specifications...

Pages   660
Est. Packaging Dimensions:   Length: 1.5" Width: 6.5" Height: 9.5"
Weight:   2.55 lbs.
Binding  Hardcover
Release Date   Dec 16, 2002
Publisher   Springer
ISBN  3540439323  
ISBN13  9783540439325  

Availability  125 units.
Availability accurate as of Oct 28, 2016 02:32.
Usually ships within one to two business days from La Vergne, TN.
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More About Jean Jacod, Albert Nikolaevich Shiriaev & N. Shiryaev

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Product Categories

1Books > Special Features > Formats
2Books > Special Features > New & Used Textbooks > Sciences > Mathematics > Statistics
3Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Statistics
4Books > Subjects > Science > General
5Books > Subjects > Science > Mathematics > Applied > Probability & Statistics
6Books > Subjects > Science > Mathematics > General

Reviews - What do customers think about Limit Theorems for Stochastic Processes?

A superb harmony  Feb 23, 2007
Just about every time I open this book I either find the elucidation of a concept which either I have always wanted to learn; or see the connection between ideas which I have known for some time.
This valuable work unifies a number of topics which are of great importance to the mathematical practitioner. Each of these is treated not merely as noetic nicety but as tool for applying the theory.
The thorough and extensive treatment of continguity theory for point processes and convergence of stochastic integrals are especially well done and satisfying.
Although even a two semester course does not suffice to cover the entire book I nevertheless feel that the dedicated educator should be able to delineate a number of threads for two one-semeter graduate courses.

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