Discrete Approximation of Markovprocesses by Markovchains

Johannes Adler
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Johannes Adler: Technische Universität Wien, Institut für Statistik und Wahrscheinlichkeitstheorie

A chapter in Probability and Statistical Inference, 1982, pp 1-11 from Springer

Abstract: Abstract The concept of discrete convergence, introduced by Stummel [3] is the frame within the convergence of semigroups with discrete parameter to a semigroup with continous parameter can be studied, cf. Trotter [4] and Kurtz [2]. On the other hand, discrete convergence gives us the frame within we can define weak convergence of a sequence of space-time discrete Markovchains to a space-time continous Markovprocess. The connection is studied between discrete convergence of Markov-processes and discrete convergence of the corresponding semigroups and infinitesimal operators.

Keywords: Compact Subset; Discrete Approximation; Operator Semigroup; Markov Kernel; Saturation Sequence (search for similar items in EconPapers)
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-7840-9_1

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DOI: 10.1007/978-94-009-7840-9_1

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