Local limit theorems for transition densities of Markov chains converging to diffusions

DOI10.1007/S004400000063zbMATH Open0996.60083MaRDI QIDQ1584541FDOQ1584541

Authors: V. Konakov, Enno Mammen 

Publication date: 23 October 2002

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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zbMATH Keywords

diffusion processtransition densitiesparametrix methodtriangular arrays of Markov chains

Mathematics Subject Classification ID

Density estimation (62G07) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Nonlinear parabolic equations (35K55)

Cited In (23)

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• Linear trend exclusion for models defined with stochastic differential and difference equations
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• Stability of Densities for Perturbed Diffusions and Markov Chains
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• Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
• On numerical density approximations of solutions of SDEs with unbounded coefficients
• An estimate of the rate of convergence of a sequence of additive functionals of difference approximations for a multidimensional diffusion process
• Local approximations of Markov random walks by diffusions.
• A probabilistic interpretation of the parametrix method
• Local theorem for Markov chains with quasicompact transition probability. Applications to \(V\)-geometrically ergodic chains and iterative models
• Derivative estimates on distributions of McKean-Vlasov SDEs
• Stability of Densities for Perturbed Degenerate Diffusions
• Weak error for the Euler scheme approximation of degenerate diffusions with nonsmooth coefficients
• Estimate of transition kernel for Euler-Maruyama scheme for SDEs driven by \(\alpha\)-stable noise and applications
• Edgeworth-type expansions for transition densities of Markov chains converging to diffusions
• Singular McKean-Vlasov (reflecting) SDEs with distribution dependent noise
• Weak error for continuous time Markov chains related to fractional in time P(I)DEs
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• Small time chaos approximations for heat kernels of multidimensional diffusions
• Explicit parametrix and local limit theorems for some degenerate diffusion processes
• Local limit theorems on the convergence of Markov chains to diffusion processes

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