Discretization of Processes
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are w...
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| Главные авторы: | , |
|---|---|
| Формат: | Livre numérique |
| Язык: | Anglais |
| Опубликовано: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Серии: | Stochastic Modelling and Applied Probability
67 |
| Предметы: | |
| Online-ссылка: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Примечание: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Discretization of processes, Jean Jacod, Philip Protter, 2012, Berlin, Springer, 1 vol. (XIV-596 p.), Stochastic modelling and applied probability, 978-3-642-24126-0 |
Оглавление:
- Part I Introduction and Preliminary Material 1.Introduction 2.Some Prerequisites Part II The Basic Results 3.Laws of Large Numbers: the Basic Results 4.Central Limit Theorems: Technical Tools 5.Central Limit Theorems: the Basic Results 6.Integrated Discretization Error Part III More Laws of Large Numbers 7.First Extension: Random Weights 8.Second Extension: Functions of Several Increments 9.Third Extension: Truncated Functionals Part IV Extensions of the Central Limit Theorems 10.The Central Limit Theorem for Random Weights 11.The Central Limit Theorem for Functions of a Finite Number of Increments 12.The Central Limit Theorem for Functions of an Increasing Number of Increments 13.The Central Limit Theorem for Truncated Functionals Part V Various Extensions 14.Irregular Discretization Schemes. 15.Higher Order Limit Theorems 16.Semimartingales Contaminated by Noise Appendix References Assumptions Index of Functionals Index