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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)

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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
Radovi u časopisima, 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.

Izvorni jezik
Engleski

Znanstvena područja
Matematika



POVEZANOST RADA

Projekti:
HRZZ-IP-2013-11-3526 - Stohastičke metode u analitičkim i primijenjenim problemima (SMAAP) (Vondraček, Zoran, HRZZ - 2013-11) ( CroRIS)

Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb

Profili:

Avatar Url Nikola Sandrić (autor)

Avatar Url Ante Mimica (autor)

Poveznice na cjeloviti tekst rada:

Pristup cjelovitom tekstu rada doi link.springer.com doi.org

Citiraj ovu publikaciju:

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)
Mimica, A., Sandrić, N. & Schilling, R. (2018) Markov chain approximation of pure jump processes. Acta applicandae mathematicae, 158 (1), 167-206 doi:10.1007/s10440-018-0179-9.
@article{article, author = {Mimica, Ante and Sandri\'{c}, Nikola and Schilling, Rene L.}, year = {2018}, pages = {167-206}, DOI = {10.1007/s10440-018-0179-9}, keywords = {Non-symmetric Dirichlet form, Non-symmetric Hunt process, Markov chain, Mosco convergence, Semimartingale, Semimartingale characteristics, Weak convergence}, journal = {Acta applicandae mathematicae}, doi = {10.1007/s10440-018-0179-9}, volume = {158}, number = {1}, issn = {0167-8019}, title = {Markov chain approximation of pure jump processes}, keyword = {Non-symmetric Dirichlet form, Non-symmetric Hunt process, Markov chain, Mosco convergence, Semimartingale, Semimartingale characteristics, Weak convergence} }
@article{article, author = {Mimica, Ante and Sandri\'{c}, Nikola and Schilling, Rene L.}, year = {2018}, pages = {167-206}, DOI = {10.1007/s10440-018-0179-9}, keywords = {Non-symmetric Dirichlet form, Non-symmetric Hunt process, Markov chain, Mosco convergence, Semimartingale, Semimartingale characteristics, Weak convergence}, journal = {Acta applicandae mathematicae}, doi = {10.1007/s10440-018-0179-9}, volume = {158}, number = {1}, issn = {0167-8019}, title = {Markov chain approximation of pure jump processes}, keyword = {Non-symmetric Dirichlet form, Non-symmetric Hunt process, Markov chain, Mosco convergence, Semimartingale, Semimartingale characteristics, Weak convergence} }

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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