Approximation of feller processes by Markov Chains with Lévy increments
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
Original language | English |
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Pages (from-to) | 71-80 |
Number of pages | 10 |
Journal | Stochastics and dynamics : SD |
Volume | 9 |
Issue number | 1 |
Publication status | Published - 2009 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Euler scheme, Feller process, Jump process, Markov chain approximation, Pseudo differential operator