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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 (2018) (znanstveni, prihvaćen)


Naslov
Markov chain approximation of pure jump processes

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

Vrsta, podvrsta
Radovi u časopisima, -, znanstveni

Izvornik
Acta applicandae mathematicae (2018)

Status rada
Prihvaćen

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

Indeksiranost časopisa:


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