Probability Theory III

DOI10.1007/978-3-662-03640-2zbMath0879.60047OpenAlexW2492413671MaRDI QIDQ4372774

Albert N. Shiryaev, Alexander Yu. Veretennikov, Robert Sh. Liptser, Svetlana Anulova, Nicolai V. Krylov

Publication date: 18 December 1997

Published in: Encyclopaedia of Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-03640-2

zbMATH Keywords

martingalesMalliavin calculusstochastic calculusstochastic calculus of variationlimit theorems for stochastic processessurvey of modern methods in the theory of random processesstochastic differential and evolutional equations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (8)

The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise ⋮ Absolute Continuity under Time Shift of Trajectories and Related Stochastic Calculus ⋮ Ergodicity and mixing bounds for the Fisher-Snedecor diffusion ⋮ Stochastically perturbed sliding motion in piecewise-smooth systems ⋮ Large deviations for a simple closed queueing model ⋮ Convergence of locally square integrable martingales to a continuous local martingale ⋮ On Davie’s uniqueness for some degenerate SDEs ⋮ On Stochastic Representation of Blow-Ups for Distributed Parameter Systems

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