Diffusion approximations of some stochastic difference equations revisited

In this paper, we consider the diffusion approximations of some stochastic processes with discrete parameter which are asymptotically given by stochastic difference equations. We use martingale methods and improve on the previous results in the literature.

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Year of publication:	1988
Authors:	Watanabe, Hisao
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 29.1988, 1, p. 147-154
Publisher:	Elsevier
Keywords:	diffusion approximations stochastic difference equations martingale methods perturbation methods

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874169