On diffusion approximation with discontinuous coefficients

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a diffusion process with discontinuous diffusion and drift coefficients.

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Year of publication:	2002
Authors:	Krylov, N. V. ; Liptser, R.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 102.2002, 2, p. 235-264
Publisher:	Elsevier
Keywords:	Diffusion approximation Stochastic differential equations Weak convergence

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

Persistent link: https://www.econbiz.de/10008873012