Download or read book Limit Theorems for Stochastic Processes written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Limit Theorems for Randomly Stopped Stochastic Processes written by Dmitrii S. Silvestrov and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is the first to present a state-of-the-art overview of this field, with many results published for the first time. It covers the general conditions as well as the basic applications of the theory, and it covers and demystifies the vast and technically demanding Russian literature in detail. Its coverage is thorough, streamlined and arranged according to difficulty.

Download or read book Limit Theorems for Randomly Stopped Stochastic Processes written by Dimitri Silvestrov and published by . This book was released on 2014-01-15 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Datensicherheit written by and published by . This book was released on 1909 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Process Limits written by Ward Whitt and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "The material is self-contained, but it is technical and a solid foundation in probability and queuing theory is beneficial to prospective readers. [... It] is intended to be accessible to those with less background. This book is a must to researchers and graduate students interested in these areas." ISI Short Book Reviews

Download or read book Limit Theorems for Stochastic Processes written by J. Sethuraman and published by . This book was released on 1965 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Limit Theorems for Markov Chains and Stochastic Properties of Dynamical Systems by Quasi Compactness written by Hubert Hennion and published by Springer Science & Business Media. This book was released on 2001-08 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how techniques from the perturbation theory of operators, applied to a quasi-compact positive kernel, may be used to obtain limit theorems for Markov chains or to describe stochastic properties of dynamical systems. A general framework for this method is given and then applied to treat several specific cases. An essential element of this work is the description of the peripheral spectra of a quasi-compact Markov kernel and of its Fourier-Laplace perturbations. This is first done in the ergodic but non-mixing case. This work is extended by the second author to the non-ergodic case. The only prerequisites for this book are a knowledge of the basic techniques of probability theory and of notions of elementary functional analysis.

Download or read book Limit Theorems on Large Deviations for Markov Stochastic Processes written by A.D. Wentzell and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades a new branch of probability theory has been developing intensively, namely, limit theorems for stochastic processes. As compared to classical limit theorems for sums of independent random variables, the generalizations are going here in two directions simultaneously. First, instead of sums of independent variables one considers stochastic processes belonging to certain broad classes. Secondly, instead of the distribution of a single sum - the distribution of the value of a stochastic process at one (time) point - or the joint distribution of the values of a process at a finite number of points, one considers distributions in an infinite-dimensional function space. For stochastic processes constructed, starting from sums of independent random variables, this is the same as considering the joint distribution of an unboundedly increasing number of sums.

Download or read book Convergence of Stochastic Processes written by D. Pollard and published by David Pollard. This book was released on 1984-10-08 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Functionals on stochastic processes; Uniform convergence of empirical measures; Convergence in distribution in euclidean spaces; Convergence in distribution in metric spaces; The uniform metric on space of cadlag functions; The skorohod metric on D [0, oo); Central limit teorems; Martingales.

Download or read book Weak Convergence of Stochastic Processes written by Vidyadhar S. Mandrekar and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-09-26 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to present results on the subject of weak convergence in function spaces to study invariance principles in statistical applications to dependent random variables, U-statistics, censor data analysis. Different techniques, formerly available only in a broad range of literature, are for the first time presented here in a self-contained fashion. Contents: Weak convergence of stochastic processes Weak convergence in metric spaces Weak convergence on C[0, 1] and D[0,∞) Central limit theorem for semi-martingales and applications Central limit theorems for dependent random variables Empirical process Bibliography

Download or read book Limit Theorems for Stochastic Processes written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 682 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume by two international leaders in the field proposes a systematic exposition of convergence in law for stochastic processes from the point of view of semimartingale theory. It emphasizes results that are useful for mathematical theory and mathematical statistics. Coverage develops in detail useful parts of the general theory of stochastic processes, such as martingale problems and absolute continuity or contiguity results.

Download or read book Weak Convergence of Stochastic Processes written by Vidyadhar S. Mandrekar and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-09-26 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to present results on the subject of weak convergence in function spaces to study invariance principles in statistical applications to dependent random variables, U-statistics, censor data analysis. Different techniques, formerly available only in a broad range of literature, are for the first time presented here in a self-contained fashion. Contents: Weak convergence of stochastic processes Weak convergence in metric spaces Weak convergence on C[0, 1] and D[0,∞) Central limit theorem for semi-martingales and applications Central limit theorems for dependent random variables Empirical process Bibliography

Download or read book Stochastic Limit Theory written by James Davidson and published by Oxford University Press. This book was released on 1994 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a coherent account of recent contributions to limit theory, with particular emphasis on the issues of date dependence and heterogeneity. The book also provides a grounding in the requisite mathematics and probability theory.

Download or read book Stopped Random Walks written by Allan Gut and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: My first encounter with renewal theory and its extensions was in 1967/68 when I took a course in probability theory and stochastic processes, where the then recent book Stochastic Processes by Professor N.D. Prabhu was one of the requirements. Later, my teacher, Professor Carl-Gustav Esseen, gave me some problems in this area for a possible thesis, the result of which was Gut (1974a). Over the years I have, on and off, continued research in this field. During this time it has become clear that many limit theorems can be obtained with the aid of limit theorems for random walks indexed by families of positive, integer valued random variables, typically by families of stopping times. During the spring semester of 1984 Professor Prabhu visited Uppsala and very soon got me started on a book focusing on this aspect. I wish to thank him for getting me into this project, for his advice and suggestions, as well as his kindness and hospitality during my stay at Cornell in the spring of 1985. Throughout the writing of this book I have had immense help and support from Svante Janson. He has not only read, but scrutinized, every word and every formula of this and earlier versions of the manuscript. My gratitude to him for all the errors he found, for his perspicacious suggestions and remarks and, above all, for what his unusual personal as well as scientific generosity has meant to me cannot be expressed in words.

Download or read book Limit Theorems For Associated Random Fields And Related Systems written by Alexander Bulinski and published by World Scientific. This book was released on 2007-09-05 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is devoted to the study of asymptotic properties of wide classes of stochastic systems arising in mathematical statistics, percolation theory, statistical physics and reliability theory. Attention is paid not only to positive and negative associations introduced in the pioneering papers by Harris, Lehmann, Esary, Proschan, Walkup, Fortuin, Kasteleyn and Ginibre, but also to new and more general dependence conditions. Naturally, this scope comprises families of independent real-valued random variables. A variety of important results and examples of Markov processes, random measures, stable distributions, Ising ferromagnets, interacting particle systems, stochastic differential equations, random graphs and other models are provided. For such random systems, it is worthwhile to establish principal limit theorems of the modern probability theory (central limit theorem for random fields, weak and strong invariance principles, functional law of the iterated logarithm etc.) and discuss their applications.There are 434 items in the bibliography.The book is self-contained, provides detailed proofs, for reader's convenience some auxiliary results are included in the Appendix (e.g. the classical Hoeffding lemma, basic electric current theory etc.).

Download or read book Statistics And Control Of Stochastic Processes The Liptser Festschrift written by Yu M Kabanov and published by World Scientific. This book was released on 1997-12-04 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains papers presented at the Steklov Seminar on Statistics and Control of Stochastic Processes. For the past three decades, the seminar has determined the development, in a number of important directions, of the theory of random processes not only in the USSR (now Russia) but in the whole world. It was organised by A N Shiryaev in collaboration with N V Krylov and R Sh Liptser. It started off with optimal stopping and filtering with applications to engineering, and very soon extended its interests to more general problems of stochastic control, causal and anticipating stochastic calculus, limit theorems for semimartingales, martingale methods in queueing theory, foundations of statistics of random processes and, in recent years, mathematical finance. Many studies, for example of stochastic PDEs or extended stochastic integrals, anticipated largely Western works.The contributions in this book are devoted to the hottest topics and united by a martingale methodology which was the key idea of the seminar.

Download or read book Limit Theorems of Probability Theory written by Yu.V. Prokhorov and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of research level surveys on certain topics in probability theory by a well-known group of researchers. The book will be of interest to graduate students and researchers.