Ebook: Theory of Martingales

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Content:
Front Matter....Pages i-xiii
Basic Concepts and the Review of Results of «The General Theory of Stochastic Processes»....Pages 1-84
Semimartingales. I. Stochastic Integral....Pages 85-149
Random Measures and their Compensators....Pages 150-187
Semimartingales. II. Canonical Representation....Pages 188-360
Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments....Pages 361-496
The Space D. Relative Compactness of Probability Distributions of Semimartingales....Pages 497-560
Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments....Pages 561-595
Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale....Pages 596-656
Invariance Principle and Diffusion Approximation for Models Generated by Stationary Processes....Pages 657-728
Diffusion Approximation for Semimartingales with a Normal Reflection in a Convex Region....Pages 729-757
Back Matter....Pages 758-792

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Content:
Front Matter....Pages i-xiii
Basic Concepts and the Review of Results of «The General Theory of Stochastic Processes»....Pages 1-84
Semimartingales. I. Stochastic Integral....Pages 85-149
Random Measures and their Compensators....Pages 150-187
Semimartingales. II. Canonical Representation....Pages 188-360
Weak Convergence of Finite-Dimensional Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments....Pages 361-496
The Space D. Relative Compactness of Probability Distributions of Semimartingales....Pages 497-560
Weak Convergence of Distributions of Semimartingales to Distributions of Processes with Conditionally Independent Increments....Pages 561-595
Weak Convergence of Distributions of Semimartingales to the Distribution of a Semimartingale....Pages 596-656
Invariance Principle and Diffusion Approximation for Models Generated by Stationary Processes....Pages 657-728
Diffusion Approximation for Semimartingales with a Normal Reflection in a Convex Region....Pages 729-757
Back Matter....Pages 758-792
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