Weak Convergence of Stochastic Processes
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.
KeywordsStochastic Differential Equation Weak Convergence Stochastic Integral Independent Increment Local Martingale
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