Diffusion approximations of some stochastic difference equations revisited

Hisao Watanabe

Stochastic Processes and their Applications, 1988, vol. 29, issue 1, 147-154

Abstract: In this paper, we consider the diffusion approximations of some stochastic processes with discrete parameter which are asymptotically given by stochastic difference equations. We use martingale methods and improve on the previous results in the literature.

Keywords: diffusion; approximations; stochastic; difference; equations; martingale; methods; perturbation; methods (search for similar items in EconPapers)
Date: 1988
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