Local approximations of Markov random walks by diffusions
We consider triangular arrays of Markov random walks that can be approximated by an accompanying sequence of diffusion processes. We give uniform bounds for approximation of scaled transition probabilities by transition densities of the diffusion process. In particular, we state local limit theorems...
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| Main Authors: | , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
21 September 2001
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| In: |
Stochastic processes and their applications
Year: 2001, Volume: 96, Issue: 1, Pages: 73-98 |
| ISSN: | 1879-209X |
| DOI: | 10.1016/S0304-4149(01)00108-9 |
| Online Access: | Verlag, Volltext: http://dx.doi.org/10.1016/S0304-4149(01)00108-9 Verlag, Volltext: http://www.sciencedirect.com/science/article/pii/S0304414901001089 
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| Author Notes: | Valentin Konakov, Enno Mammen |
| Summary: | We consider triangular arrays of Markov random walks that can be approximated by an accompanying sequence of diffusion processes. We give uniform bounds for approximation of scaled transition probabilities by transition densities of the diffusion process. In particular, we state local limit theorems for the case that the Markov random walks converge weakly to a diffusion process. |
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| Item Description: | Gesehen am 12.02.2018 |
| Physical Description: | Online Resource |
| ISSN: | 1879-209X |
| DOI: | 10.1016/S0304-4149(01)00108-9 |