Discretization of processes. (Q640731)

This new book develops a theory of limit theorems for discretely observed Itô semimartingales with a view towards statistical applications. The results cover laws of large numbers and central limit theorems in various settings. Limits are taken on bounded fixed intervals in time with a growing number of observation points such that applications to high-frequency data would be the natural setting. The books starts with an introductory part that nicely motivates the topic and collects basic material on semimartingales and limit theorems. In the first chapter, the authors discuss a view simple examples in detail that give a flavor of the upcoming material. This introduction will be very helpful for readers to prepare for the more technical parts to follow. The second part is concerned with LLNs and CLTs for functionals of the increments of an Itô semimartingale. The CLTs are formulated in terms of stable convergence in law. The next two parts of the text extend the convergence results to various other settings such as randomly weighted sums or truncated functionals. In the last part, irregularly spaced discretization schemes and observations contaminated by noise are discussed in some detail, as well. This monograph by two leading experts in the field of stochastic processes will certainly become a standard reference when statistical questions in semimartingale models need to be investigated. The text is very well written and is without doubt a must have for scientists interested in applications of advanced stochastic process models.