Authors:

R. Sh. Liptser ⁰,
A. N. Shiryayev ¹

R. Sh. Liptser
1. Steklov Institute of Mathematics, Academy of Sciences of the U.S.S.R., Moscow, U.S.S.R.
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A. N. Shiryayev
1. Steklov Institute of Mathematics, Academy of Sciences of the U.S.S.R., Moscow, U.S.S.R.
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Part of the book series: Mathematics and its Applications (MASS, volume 49)

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Table of contents (10 chapters)

Front Matter

Pages i-xiii

PDF
Part I
1. Basic Concepts and the Review of Results of «The General Theory of Stochastic Processes»
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 1-84
2. Semimartingales. I. Stochastic Integral
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 85-149
3. Random Measures and their Compensators
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 150-187
4. Semimartingales. II. Canonical Representation
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 188-360
Part II
1. Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 361-496
2. The Space D. Relative Compactness of Probability Distributions of Semimartingales
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 497-560
3. Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 561-595
4. Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 596-656
Part III
1. Invariance Principle and Diffusion Approximation for Models Generated by Stationary Processes
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 657-728
2. Diffusion Approximation for Semimartingales with a Normal Reflection in a Convex Region
  
  R. Sh. Liptser, A. N. Shiryayev
  
  Pages 729-757
Back Matter

Pages 758-792

PDF

Keywords

Authors and Affiliations

Steklov Institute of Mathematics, Academy of Sciences of the U.S.S.R., Moscow, U.S.S.R.

R. Sh. Liptser, A. N. Shiryayev

Bibliographic Information

Book Title: Theory of Martingales
Authors: R. Sh. Liptser, A. N. Shiryayev
Series Title: Mathematics and its Applications
DOI: https://doi.org/10.1007/978-94-009-2438-3
Publisher: Springer Dordrecht
eBook Packages: Springer Book Archive
Copyright Information: Kluwer Academic Publishers 1989
Hardcover ISBN: 978-0-7923-0395-4Published: 30 September 1989
Softcover ISBN: 978-94-010-7600-5Published: 04 October 2011
eBook ISBN: 978-94-009-2438-3Published: 06 December 2012
Series ISSN: 0169-6378
Edition Number: 1
Number of Pages: XIV, 792
Additional Information: Originally published in Russian
Topics: Probability Theory and Stochastic Processes, Complex Systems, Electrical Engineering, Statistical Physics and Dynamical Systems

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Table of contents (10 chapters)

Front Matter

Part I

Part II

Part III

Back Matter

Keywords

Authors and Affiliations

Steklov Institute of Mathematics, Academy of Sciences of the U.S.S.R., Moscow, U.S.S.R.

Bibliographic Information

Publish with us

Buy it now

Buying options

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