In limit theorems, one needs to characterize the law (or distribution) of various processes, in particular of the limiting process. As is well known, the law of a process is indeed characterized by the family of its “finite-dimensional” distributions. However, one is very rarely able to explicitely compute these finite-dimensional distributions, except for PII. On the other hand, many usual processes are semimartingales; and a natural tool has emerged in Chapter II for studying them, namely their characteristics: at least, they are often easy to compute.
Weitere Kapitel dieses Buchs durch Wischen aufrufen
- Martingale Problems and Changes of Measures
Albert N. Shiryaev
- Springer Berlin Heidelberg
- Chapter III
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