Limits of one-dimensional diffusions

DOI10.1214/08-AOP397MaRDI QIDQ1011152zbMATH OpenFDO

Authors George Lowther

Publication date 8 April 2009

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.2428

zbMATH Keywords

diffusionfinite-dimensional distributionsmartingalestrong Markov

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Abstract: In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However, we show that as long as the drift terms satisfy a Lipschitz condition and the limit is continuous in probability, then it will lie in a class of processes that we refer to as almost-continuous diffusions. These processes are strong Markov and satisfy an `almost-continuity' condition. We also give a simple condition for the limit to be a continuous diffusion. These results contrast with the multidimensional case where, as we show with an example, a sequence of two dimensional martingale diffusions can converge to a process that is both discontinuous and non-Markov.

Recommendations

• scientific article; zbMATH DE number 3854125
• scientific article; zbMATH DE number 3928044
• On Convergence Of Transition Probability Densities Of One-Dimensional Diffusions
• The limit of measures generated by diffusions with unboundedly increasing drift
• scientific article; zbMATH DE number 736263

Cites work

• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• The application of the research work of James Clerk Maxwell in electromagnetics to industrial frequency problems
• Tightness criteria for laws of semimartingales
• Volatility misspecification, option pricing and superreplication via coupling

Cited in

(21)

• Limit theorems for the frontier of a one-dimensional branching diffusion
• A Lévy-type characterization of one-dimensional diffusions
• Martingales associated to peacocks using the curtain coupling
• Peacocks nearby: approximating sequences of measures
• The Markov-quantile process attached to a family of marginals
• The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales
• Martingale Benamou-Brenier: a probabilistic perspective
• Tail distribution estimates for one-dimensional diffusion processes
• Hypoelliptic heat kernels on infinite-dimensional Heisenberg groups
• Comparing Brownian stochastic integrals for the convex order
• scientific article; zbMATH DE number 5855907 (Why is no real title available?)
• On the non-uniqueness of the limit points of diffusions with a small parameter
• scientific article; zbMATH DE number 3854125 (Why is no real title available?)
• scientific article; zbMATH DE number 1129546 (Why is no real title available?)
• Root to Kellerer
• Kellerer's theorem revisited
• Limit theorems for a diffusion process with a one-sided Brownian potential
• Stability of the weak martingale optimal transport problem
• Faking Brownian motion with continuous Markov martingales
• A regularized Kellerer theorem in arbitrary dimension
• The football model, stochastic ordering and martingale transport

This page was built for publication: Limits of one-dimensional diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1011152)