Local approximations of Markov random walks by diffusions.

DOI10.1016/S0304-4149(01)00108-9MaRDI QIDQ1766010zbMATH OpenFDO

Authors V. Konakov, Enno Mammen

Publication date 25 February 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0602430

zbMATH Keywords

transition probabilitiesMarkov chainsrandom walksdiffusion processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Sums of independent random variables; random walks (60G50)

Abstract: We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Edgeworth type expansions of third order for transition densities are proved. This is done for time horizons that converge to 0. For this purpose we represent the transition density as a functional of densities of sums of i.i.d. variables. This will be done by application of the parametrix method. Then we apply Edgeworth expansions to the densities. The resulting series gives our Edgeworth-type expansion for the transition density of Markov chains. The research is motivated by applications to high frequency data that are available on a very fine grid but are approximated by a diffusion model on a more rough grid.

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• A Local Limit Theorem on Convergence to a Diffusion Process
• Curvature and the eigenvalues of the Laplacian
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• The non-locality of Markov chain approximations to two-dimensional diffusions

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