Limit Theorems for Stochastic Processes
2nd Edition
Published on 10. October 2002
Book
Hardback
XX, 664 pages
978-3-540-43932-5 (ISBN)
Description
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 asa 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.
Reviews / Votes
From the reviews of the second edition: "This is the second edition of a well-known book. Fifteen years ago, the first edition ... proved essential for all people interested in functional convergence of stochastic processes. ... Some new materials have been included in the present edition. ... There is also an up-to-date account on predictable uniform tightness because there has been significant progress in this field since the first edition. No doubt that this book will continue being a necessary companion for stochasticians." (Dominique Lepingle, Mathematical Reviews, 2003 j) "This is the second edition of the fundamental monograph ... . This new edition has grown by about 50 pages ... . These extensions make the book even more valuable and comprehensive for people working in mathematical finance, numerics of stochastic processes and, of course, statistics of stochastic processes." (Markus Reiss, Zentralblatt MATH, Vol. 1018, 2003) "The 1987 version of the book was a landmark in probability theory. The same can be said about the second edition. I can recommend this book to every reader who is sufficiently experienced and willing to spend some effort ... . Also, I think the book is very useful as a reference. ... To conclude, this book is still the reference in this domain and as such I can definitely recommend it to both pure and applied probabilists who are interested in this topic." (A.P. Zwart, Nieuw Archief voor Wiskunde, Vol. 7 (2), 2006)More details
Series
Edition
Second Edition 2003
Language
English
Place of publication
Berlin
Germany
Publishing group
Springer Berlin
Target group
Professional and scholarly
Research
Edition type
New edition
Illustrations
XX, 664 p.
Dimensions
Height: 241 mm
Width: 160 mm
Thickness: 43 mm
Weight
1185 gr
ISBN-13
978-3-540-43932-5 (9783540439325)
DOI
10.1007/978-3-662-05265-5
Schweitzer Classification
Other editions
Additional editions
Jean Jacod | Albert Shiryaev
Limit Theorems for Stochastic Processes
E-Book
03/2013
2nd Edition
Springer
€171.19
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Jean Jacod | Albert Shiryaev
Limit Theorems for Stochastic Processes
Book
12/2010
2nd Edition
Springer
€181.89
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Previous edition
Jean Jacod | Albert N. Shiryaev
Limit Theorems for Stochastic Processes
Book
11/1987
Springer
€85.59
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Content
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.