Markov chain approximations for nonsymmetric processes

Marvin Weidner

Stochastic Processes and their Applications, 2023, vol. 158, issue C, 238-281

Abstract: The aim of this article is to prove that diffusion processes in Rd with a drift can be approximated by suitable Markov chains on n−1Zd. Moreover, we investigate sufficient conditions on the edge weights which guarantee convergence of the associated Markov chains to such Markov processes. Analogous questions are answered for a large class of nonsymmetric jump processes. The proofs of our results rely on regularity estimates for weak solutions to the corresponding nonsymmetric parabolic equations and Dirichlet form techniques.

Keywords: Markov chain; Approximation; Dirichlet form; Nonlocal; Nonsymmetric; Drift (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:158:y:2023:i:c:p:238-281

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DOI: 10.1016/j.spa.2023.01.009

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