Weak Convergence of Stochastic Processes

  • Jean-Luc Prigent
Part of the Springer Finance book series (FINANCE)


The processes of interest are assumed to take values in the Euclidian space ℝ d . More general complete and separable metric spaces can in fact be considered but the applications developed here concern dynamics of processes taking values in ℝ d like for example d-dimensional stock prices. Moreover, paths of these processes are sufficiently regular: the space 𝔻(ℝ d ) of the rightcontinuous functions having left limits (rcll) is in particular important.


Stochastic Differential Equation Weak Convergence Stochastic Integral Independent Increment Local Martingale 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • Jean-Luc Prigent
    • 1
  1. 1.THEMAUniversity of CergyCergyFrance

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