Chapter

Weak Convergence to Stochastic Integrals

James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI: http://dx.doi.org/10.1093/0198774036.003.0030

Series: Advanced Texts in Econometrics

 Weak Convergence to Stochastic Integrals

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

The main object of this final chapter is to prove an essential companion result to the FCLT, the convergence of certain normalized random sums to stochastic integrals with respect to Brownian motion. Some preliminary theory is given relating to random functionals on C and processes in continuous time.

Keywords: diffusion process; filtration; Itô's rule; martingale; progressive measurability; random functional; stochastic integral

Chapter.  12607 words. 

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.