Limit theorems for stochastic difference-differential equations

DOI10.1017/S0027763000004116MaRDI QIDQ4025582zbMATH OpenFDO

Authors Tsukasa Fujiwara, Hiroshi Kunita

Publication date 18 February 1993

Published in Nagoya Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0027763000004116

zbMATH Keywords

càdlàg process Lévy's infinitesimal generator Skorokhod space stochastic difference-differential equation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17)

Review text

For each \(n=1,2,\dots\), let \(\varphi_ t^ n\) be a càdlàg process satisfying a stochastic difference-differential equation of the form: \[ \varphi_ t^ n=x_ 0+\int_{(0,t]}\{f_ u^ n(\varphi_{u-}^ n)+\bar g_ u^ n(\varphi_{u-}^ n)\}dA_ u^ n, \] where \(f_ u^ n\) is a vector field valued stochastic process, \(\bar g_ u^ n\) is a deterministic vector field valued function of \(u\), and \(A_ u^ n\) is a deterministic nondecreasing càdlàg function of \(u\). It is shown that the sequence \(\{\varphi_ .^ n\}_ n\) of solutions converges in the sense of laws on the Skorokhod space to the solution of a stochastic differential equation of jump type as \(n\to\infty\). The result gives us a unified method which is applicable both to stochastic ordinary differential equations and to stochastic difference equations. Also note that the limit process can have jumps and can be characterized as a Markov process associated with Lévy's infinitesimal generator. Further, as an application of the limit theorem, diffusion approximation theorems for stochastic ordinary differential equations driven by mixing processes are established.

Recommendations

Cites work

Cited in

(18)

This page was built for publication: Limit theorems for stochastic difference-differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4025582)