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Theory of Martingales

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Cover of 'Theory of Martingales'

Table of Contents

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    Book Overview
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    Chapter 1 Basic Concepts and the Review of Results of «The General Theory of Stochastic Processes»
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    Chapter 2 Semimartingales. I. Stochastic Integral
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    Chapter 3 Random Measures and their Compensators
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    Chapter 4 Semimartingales. II. Canonical Representation
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    Chapter 5 Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments
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    Chapter 6 The Space D. Relative Compactness of Probability Distributions of Semimartingales
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    Chapter 7 Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments
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    Chapter 8 Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale
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    Chapter 9 Invariance Principle and Diffusion Approximation for Models Generated by Stationary Processes
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    Chapter 10 Diffusion Approximation for Semimartingales with a Normal Reflection in a Convex Region
Attention for Chapter 8: Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale
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Chapter title
Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale
Chapter number 8
Book title
Theory of Martingales
Published by
Springer, Dordrecht, January 1989
DOI 10.1007/978-94-009-2438-3_8
Book ISBNs
978-9-40-107600-5, 978-9-40-092438-3
Authors

R. Sh. Liptser, A. N. Shiryayev

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