Diffusion approximations of some stochastic difference equations revisited

DOI10.1016/0304-4149(88)90034-8zbMath0654.60060OpenAlexW2083898272MaRDI QIDQ1108670

Hisao Watanabe

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0304-4149(88)90034-8

zbMATH Keywords

perturbation methodsmartingale methodsdiffusion approximationspotential functionstochastic difference equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic analysis (60H99)

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Cites Work

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• Lectures on stochastic flows and applications. Delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by M. K. Ghosh
• Diffusion approximations of some stochastic differential equations. II
• A limit theorem for turbulent diffusion
• On the Weak Convergence of a Sequence of General Stochastic Difference Equations to a Diffusion
• Almost sure invariance principles for partial sums of weakly dependent random variables

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