On diffusion approximation with discontinuous coefficients

N. V. Krylov; R. Liptser

doi:10.1016/S0304-4149(02)00181-3

On diffusion approximation with discontinuous coefficients

N. V. Krylov, R. Liptser

School of Mathematics

Research output: Contribution to journal › Article › peer-review

13 Scopus citations

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.

Original language	English (US)
Pages (from-to)	235-264
Number of pages	30
Journal	Stochastic Processes and their Applications
Volume	102
Issue number	2
DOIs	https://doi.org/10.1016/S0304-4149(02)00181-3
State	Published - Dec 2002

Keywords

Diffusion approximation
Stochastic differential equations
Weak convergence

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10.1016/S0304-4149(02)00181-3

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title = "On diffusion approximation with discontinuous coefficients",

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",

author = "Krylov, {N. V.} and R. Liptser",

year = "2002",

month = dec,

doi = "10.1016/S0304-4149(02)00181-3",

language = "English (US)",

volume = "102",

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journal = "Stochastic Processes and their Applications",

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T1 - On diffusion approximation with discontinuous coefficients

AU - Krylov, N. V.

AU - Liptser, R.

PY - 2002/12

Y1 - 2002/12

N2 - 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.

AB - 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.

KW - Diffusion approximation

KW - Stochastic differential equations

KW - Weak convergence

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U2 - 10.1016/S0304-4149(02)00181-3

DO - 10.1016/S0304-4149(02)00181-3

M3 - Article

AN - SCOPUS:0036887695

SN - 0304-4149

VL - 102

SP - 235

EP - 264

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

On diffusion approximation with discontinuous coefficients

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