Advertisement

Weak Convergence of Stochastic Processes

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

Abstract

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.

Keywords

Stochastic Differential Equation Weak Convergence Stochastic Integral Independent Increment Local Martingale 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

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

Personalised recommendations