Weak convergence of interacting SDEs to the superprocess

DOI10.1007/S002459911006MaRDI QIDQ1968773zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 January 2001

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002459911006

zbMATH Keywords

martingalesstochastic partial differential equationsweak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Review text

Considering a finite system of stochastic differential equations defined on a lattice of specified form, the authors show that the space-time process thus defined converges in law to the solution of the stochastic partial differential equation associated with the super-Brownian motion on \([0,1]\). The identification of the limit is accomplished by showing the convergence of pertinent martingale problems to a limiting martingale problem.

Recommendations

• Rescaled interacting diffusions converge to super Brownian motion
• Interacting superprocesses with discontinuous spatial motion
• A degenerate stochastic partial differential equation for superprocesses with singular interaction
• A class of stochastic partial differential equations for interacting superprocesses on a bounded domain
• Limit theorem for countable systems of stochastic differential equations

Cited in

(6)

• Rescaled interacting diffusions converge to super Brownian motion
• Hilbert space regularity of the \((\alpha,d,1)\)-superprocess and its occupation time.
• Quenched convergence of a sequence of superprocesses in \(\mathbb R^d\) among Poissonian obstacles
• A class of stochastic partial differential equations for interacting superprocesses on a bounded domain
• On a stochastic interacting model with stepping-stone noises
• A degenerate stochastic partial differential equation for superprocesses with singular interaction

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