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Mathematics - Probability Theory and Stochastic Processes | Discretization of Processes (Reviews)

Discretization of Processes

Jacod, Jean, Protter, Philip E.

2012, XVI, 596 p.

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From the reviews:

“It is clearly statistically oriented and intended to help practitioners to answer questions about an observed random process X. … The book may be considered as the outcome of several decades of intensive work on the statistics of semimartingales, and a large part of the stated results is due to the authors. For both theoreticians and practitioners in the vast realm of random processes, this will be an indispensable reference book.” (Dominique Lépingle, Mathematical Reviews, January, 2013)

“This new book develops a theory of limit theorems for discretely observed Itô semimartingales with a view towards statistical applications. … This monograph by two leading experts in the field of stochastic processes will certainly become a standard reference when statistical questions in semimartingale models need to be investigated. The text is very well written and is without doubt a must have for scientists interested in applications of advanced stochastic process models.” (H. M. Mai, Zentralblatt MATH, Vol. 1259, 2013)

 

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