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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

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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

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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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Theory of Martingales

Overview

Access this book

Other ways to access

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

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