Local approximations of Markov random walks by diffusions

We consider triangular arrays of Markov random walks that can be approximated by an accompanying sequence of diffusion processes. We give uniform bounds for approximation of scaled transition probabilities by transition densities of the diffusion process. In particular, we state local limit theorems for the case that the Markov random walks converge weakly to a diffusion process.

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Year of publication:	2001
Authors:	Konakov, Valentin ; Mammen, Enno
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 96.2001, 1, p. 73-98
Publisher:	Elsevier
Keywords:	Random walks Markov chains Diffusion processes Transition probabilities

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

Persistent link: https://www.econbiz.de/10008872727