Skip to main content
SpringerLink
Log in
Book cover

Limit Theorems for Stochastic Processes

  • Book
  • © 2003

Overview

Authors:
  1. Jean Jacod

    1. Laboratoire de Probabilités, Université Paris VI, Paris Cedex 05, France

    View author publications

    You can also search for this author in PubMed   Google Scholar

  2. Albert N. Shiryaev

    1. Russian Academy of Sciences, Steklov Mathematical Institute, Moscow, Russia

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Grundlehren der mathematischen Wissenschaften (GL, volume 288)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 149.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 199.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 199.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (10 chapters)

  1. Front Matter

    Pages I-XX
    Download chapter PDF

  2. The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals

    • Jean Jacod, Albert N. Shiryaev
    Pages 1-63

  3. Characteristics of Semimartingales and Processes with Independent Increments

    • Jean Jacod, Albert N. Shiryaev
    Pages 64-141

  4. Martingale Problems and Changes of Measures

    • Jean Jacod, Albert N. Shiryaev
    Pages 142-226

  5. Hellinger Processes, Absolute Continuity and Singularity of Measures

    • Jean Jacod, Albert N. Shiryaev
    Pages 227-283

  6. Contiguity, Entire Separation, Convergence in Variation

    • Jean Jacod, Albert N. Shiryaev
    Pages 284-323

  7. Skorokhod Topology and Convergence of Processes

    • Jean Jacod, Albert N. Shiryaev
    Pages 324-388

  8. Convergence of Processes with Independent Increments

    • Jean Jacod, Albert N. Shiryaev
    Pages 389-455

  9. Convergence to a Process with Independent Increments

    • Jean Jacod, Albert N. Shiryaev
    Pages 456-520

  10. Convergence to a Semimartingale

    • Jean Jacod, Albert N. Shiryaev
    Pages 521-591

  11. Limit Theorems, Density Processes and Contiguity

    • Jean Jacod, Albert N. Shiryaev
    Pages 592-628

  12. Back Matter

    Pages 629-664
    Download chapter PDF
Back to top

Keywords

About this book

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.

Authors and Affiliations

  • Laboratoire de Probabilités, Université Paris VI, Paris Cedex 05, France

    Jean Jacod

  • Russian Academy of Sciences, Steklov Mathematical Institute, Moscow, Russia

    Albert N. Shiryaev

Bibliographic Information

  • Book Title: Limit Theorems for Stochastic Processes

  • Authors: Jean Jacod, Albert N. Shiryaev

  • Series Title: Grundlehren der mathematischen Wissenschaften

  • DOI: https://doi.org/10.1007/978-3-662-05265-5

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag GmbH Germany 2003

  • Hardcover ISBN: 978-3-540-43932-5Published: 10 October 2002

  • Softcover ISBN: 978-3-642-07876-7Published: 18 December 2010

  • eBook ISBN: 978-3-662-05265-5Published: 09 March 2013

  • Series ISSN: 0072-7830

  • Series E-ISSN: 2196-9701

  • Edition Number: 2

  • Number of Pages: XX, 664

  • Topics: Probability Theory and Stochastic Processes

Publish with us

Policies and ethics

Back to top

Search

Navigation