Approximation of feller processes by Markov Chains with Lévy increments

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

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

OriginalspracheEnglisch
Seiten (von - bis)71-80
Seitenumfang10
Fachzeitschrift Stochastics and dynamics : SD
Jahrgang9
Ausgabenummer1
PublikationsstatusVeröffentlicht - 2009
Peer-Review-StatusJa

Schlagworte

ASJC Scopus Sachgebiete

Schlagwörter

  • Euler scheme, Feller process, Jump process, Markov chain approximation, Pseudo differential operator