Markov Chain Approximation of Pure Jump Processes

Research output: Contribution to journal › Research article › Contributed › peer-review

Contributors

  • Ante Mimica - , University of Zagreb (Author)
  • Nikola Sandrić - , University of Zagreb (Author)
  • René L. Schilling - , Chair of Probability Theory (Author)

Abstract

In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a given Markov process by Markov chains.

Details

Original languageEnglish
Pages (from-to)167-206
Number of pages40
JournalActa applicandae mathematicae
Volume158
Issue number1
Publication statusPublished - 1 Dec 2018
Peer-reviewedYes

Keywords

ASJC Scopus subject areas

Keywords

  • Markov chain, Mosco convergence, Non-symmetric Dirichlet form, Non-symmetric Hunt process, Semimartingale, Semimartingale characteristics, Weak convergence