On diffusion approximation with discontinuous coefficients

N. V. Krylov and R. Liptser

Stochastic Processes and their Applications, 2002, vol. 102, issue 2, 235-264

Abstract: Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a diffusion process with discontinuous diffusion and drift coefficients.

Keywords: Diffusion; approximation; Stochastic; differential; equations; Weak; convergence (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (4)

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