Markov Chain Approximation of Pure Jump Processes

Markov Chain Approximation of Pure Jump Processes

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.

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Veröffentlicht in:Acta applicandae mathematicae 2018-12, Vol.158 (1), p.167-206
Hauptverfasser: Mimica, Ante, Sandrić, Nikola, Schilling, René L.
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Calculus of Variations and Optimal Control
Optimization
Computational Mathematics and Numerical Analysis
Dirichlet problem
Markov analysis
Markov chains
Mathematics
Mathematics and Statistics
Partial Differential Equations
Probability Theory and Stochastic Processes
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Zusammenfassung: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.
ISSN:0167-8019
1572-9036
DOI:10.1007/s10440-018-0179-9