Skip to main content

Limit Theorems for Stochastic Processes

  • Book
  • © 1987


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

eBook USD 74.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (10 chapters)


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 elementary introduction to the main topics: theory of martingales and stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.

Authors and Affiliations

  • Laboratoire de Probabilités, Paris 05, France

    Jean Jacod

  • Steklov Mathematical Institute, Moscow, USSR

    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:

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1987

  • eBook ISBN: 978-3-662-02514-7Published: 09 March 2013

  • Series ISSN: 0072-7830

  • Series E-ISSN: 2196-9701

  • Edition Number: 1

  • Number of Pages: XVII, 604

  • Number of Illustrations: 2 b/w illustrations

  • Topics: Probability Theory and Stochastic Processes

Publish with us