Approximation of feller processes by Markov Chains with Lévy increments
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
We consider Feller processes whose generators have the test functions as an operator core. In this case, the generator is a pseudo differential operator with negative definite symbol q(x, ξ). If q(x, ξ) < c(1 + ξ 2), the corresponding Feller process can be approximated by Markov chains whose steps are increments of Lévy processes. This approximation can easily be used for a simulation of the sample path of a Feller process. Further, we provide conditions in terms of the symbol for the transition operators of the Markov chains to be Feller. This gives rise to a sequence of Feller processes approximating the given Feller process.
Details
Originalsprache | Englisch |
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Seiten (von - bis) | 71-80 |
Seitenumfang | 10 |
Fachzeitschrift | Stochastics and dynamics : SD |
Jahrgang | 9 |
Ausgabenummer | 1 |
Publikationsstatus | Veröffentlicht - 2009 |
Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Euler scheme, Feller process, Jump process, Markov chain approximation, Pseudo differential operator