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Pregled bibliografske jedinice broj: 934816

Markov chain approximation of pure jump processes


Mimica, Ante; Sandrić, Nikola; Schilling, Rene L.
Markov chain approximation of pure jump processes // Acta applicandae mathematicae, 158 (2018), 1; 167-206 doi:10.1007/s10440-018-0179-9 (međunarodna recenzija, članak, znanstveni)


Naslov
Markov chain approximation of pure jump processes

Autori
Mimica, Ante ; Sandrić, Nikola ; Schilling, Rene L.

Izvornik
Acta applicandae mathematicae (0167-8019) 158 (2018), 1; 167-206

Vrsta, podvrsta i kategorija rada
-, članak,znanstveni

Ključne riječi
Non-symmetric Dirichlet form ; Non-symmetric Hunt process ; Markov chain ; Mosco convergence ; Semimartingale ; Semimartingale characteristics ; Weak convergence

Sažetak
In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a given Markov process by Markov chains.

Projekt / tema
HRZZ-IP-2013-11-3526 - Stohastičke metode u analitičkim i primijenjenim problemima (Zoran Vondraček)

Izvorni jezik
Engleski

Znanstvena područja
Matematika

Ustanove
Prirodoslovno-matematički fakultet, Zagreb

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus


Uključenost u ostale bibliografske baze podataka:


  • MathSciNet


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