A Martingale Method for the Convergence of a Sequence of Processes to a Jump-Diffusion Process
BROWN UNIV PROVIDENCE RI DIV OF APPLIED MATHEMATICS
Pagination or Media Count:
A convenient method for proving weak convergence of a sequence of non-Markovian processes xepsilon . to a jump-diffusion process is proved. Basically, it is shown that the limit solves the martingale problem of Strook and Varadhan. The proofs are relatively simple, and the conditions apparently weaker than required by other current methods in particular, for limit theorems for a sequence of ordinary differential equations with random right hand sides. In order to illustrate the relative ease of applicability in many cases, a simpler proof of a known result on averaging is given.
- Statistics and Probability