Limit theorems for semimartingales form the basis of the martingaleapproximation approach. The methods of martingale approximationaddressed in this book pertain to estimates of the rate ofconvergence in the central limit theorem and in the invarianceprinciple. Some applications of martingale approximation areillustrated by the analysis of U-statistics, rank statistics,statistics of exchangeable variables and stochastic exponentialstatistics. Simplified results of stochastic analysis are given foruse in investigations of many applied problems, includingmathematical statistics, financial mathematics, mathematical biology,industrial mathematics and engineering.
This monograph will be of value and interest to researchers workingon applied problems of stochastic models of systems.
1997; xii+322 pages ISBN 90-6764-271-1 Price: EUR 183/US$ 247
