Verfügbarkeit: Martingale approximation

Martingale approximation:

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Bibliographische Detailangaben
1. Verfasser:	Borovskich, Jurij V. (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Utrecht VSP 1997
Ausgabe:	1. publ.
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XI, 322 S.
ISBN:	9067642711

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MARC


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Datensatz im Suchindex

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adam_text	MARTINGALE APPROXIMATION YU.V. BOROVSKIKH AND V.S. KOROLYUK ///VSP/// UTRECHT, THE NETHERLANDS, 1997 CONTENTS PREFACE IX 1 BASIC NOTIONS 1 1.1 STOCHASTIC PROCESSES 1 1.2 A STOPPING TIME 2 1.3 MARTINGALES 3 1.4 THE MARTINGALE PRESERVATION PROPERTY. WALD S IDENTITY 8 1.5 DISCRETE-TIME MARTINGALES 11 1.6 PROCESSES WITH FINITE VARIATION 13 1.7 A PREDICTABLE CHARACTERISTIC (COMPENSATOR) 14 1.8 MULTIVARIATE POINT PROCESSES 16 1.9 MARTINGALES WITH MULTIDIMENSIONAL INDICES 19 2 SEMIMARTINGALES 21 2.1 PROCESSES WITH INDEPENDENT INCREMENTS 21 2.2 CANONICAL DECOMPOSITION OF SEMIMARTINGALES 25 2.3 STOCHASTIC INTEGRAL 25 2.4 QUADRATIC VARIATION AND ITO S FORMULA ! 28 275 STOCHASTIC EXPONENTIAL 30 2.6 CHARACTERISTICS OF SEMIMARTINGALES 32 2.7 SEMIMARTINGALES WITH DISCRETE TIME 34 3 INEQUALITIES 37 3.1 DOOB ? S INEQUALITIES ,37 3.2 BDG-INEQUALITIES 40 3.3 MOMENT INEQUALITIES 52 3.4 MAXIMAL INEQUALITIES 54 3.5 DOMINATION PRINCIPLE FOR MARTINGALES 56 3.6 INEQUALITIES FOR MARTINGALES WITH MULTIDIMENSIONAL INDICES 61 VI CONTENTS 4 LAWS OF LARGE NUMBERS 63 4.1 BASIC CONVERGENCE THEOREMS 63 4.2 THE WEAK LAW OF LARGE NUMBERS 70 4.3 THE STRONG LAW OF LARGE NUMBERS 73 4.4 CONVERGENCE IN L P 76 4.5 BACKWARD MARTINGALES WITH MULTIDIMENSIONAL INDICES 78 4.6 BANACH-VALUED MARTINGALES 79 5 CENTRAL LIMIT THEOREM 89 5.1 STATEMENT OF PROBLEM 89 5.2 CONDITIONS OF NORMAL CONVERGENCE 90 5.3 SQUARE INTEGRABLE MARTINGALES 91 5.4 CENTRAL LIMIT THEOREM WITHOUT MOMENT CONDITIONS 94 5.5 RANDOM CENTRAL LIMIT THEOREM 97 5.6 MIXTURE OF NORMAL DISTRIBUTIONS 98 5.7 REVERSED MARTINGALES 100 5.8 BANACH-VALUED MARTINGALES 106 6 CONVERGENCE OF SEMIMARTINGALES 109 6.1 FUNCTIONAL CENTRAL LIMIT THEOREM 109 6.2 CONVERGENCE TO A PROCESS WITH INDEPENDENT INCREMENTS 115 6.3 CONVERGENCE OF STOCHASTIC EXPONENTIALS 119 6.4 CONVERGENCE OF POINT PROCESSES. . . * 122 7 RATE OF WEAK CONVERGENCE 125 7.1 ESTIMATES IN THE CENTRAL LIMIT THEOREM 125 7.2 PROXIMATE ORDER OF CONVERGENCE TO THE MIXTURE OF NORMAL DISTRIBUTIONS 150 7.3 ESTIMATES IN THE RANDOM CENTRAL LIMIT THEOREM 158 7.4 ESTIMATES FOR REVERSED MARTINGALES 159 7.5 ESTIMATES FOR SEMIMARTINGALES 166 7.6 NON-UNIFORM ESTIMATES 168 ,, 7.7 ESTIMATES IN THE INVARIANCE PRINCIPLE 172 8 APPLICATIONS OF MARTINGALES 175 8.1 [/-STATISTICS 175 8.2 RANK STATISTICS 236 8.3 EXCHANGEABLE RANDOM VARIABLES 253 8.4 THE STOCHASTIC POISSON EXPONENTIAL 262 CONTENTS VII APPENDIX 271 A.I UNIFORM INTEGRABILITY 271 A.2 CONVERGENCE THEOREMS 271 A.3 KRONECKER S LEMMA 273 A.4 KHINTCHINE S INEQUALITIES 273 A.5 MARCINKIEWICZ-ZYGMUND INEQUALITIES 274 A.6 THE WEAK CONVERGENCE OF PROBABILITY MEASURES 275 A.7 GENERAL APPROXIMATION METHODS 279 BIBLIOGRAPHIC NOTES 287 BIBLIOGRAPHY 293 SUBJECT INDEX 321
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author	Borovskich, Jurij V.
author_facet	Borovskich, Jurij V.
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spelling	Borovskich, Jurij V. Verfasser aut Martingale approximation Yu. V. Borovskikh und V. S. Korolyuk 1. publ. Utrecht VSP 1997 XI, 322 S. txt rdacontent n rdamedia nc rdacarrier Korolyuk, V. S. Sonstige oth GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008059137&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Borovskich, Jurij V. Martingale approximation
title	Martingale approximation
title_auth	Martingale approximation
title_exact_search	Martingale approximation
title_full	Martingale approximation Yu. V. Borovskikh und V. S. Korolyuk
title_fullStr	Martingale approximation Yu. V. Borovskikh und V. S. Korolyuk
title_full_unstemmed	Martingale approximation Yu. V. Borovskikh und V. S. Korolyuk
title_short	Martingale approximation
title_sort	martingale approximation
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008059137&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT borovskichjurijv martingaleapproximation AT korolyukvs martingaleapproximation

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