A functional limit theorem for coin tossing Markov chains

DOI10.1214/20-AIHP1066zbMath1478.60107arXiv1902.06249OpenAlexW3094022140MaRDI QIDQ2028965

Stefan Ankirchner, Thomas Kruse, Mikhail A. Urusov

Publication date: 3 June 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06249

zbMATH Keywords

functional limit theoremMarkov chain approximationsticky Brownian motionsticky reflectionspeed measureone-dimensional Markov processBrownian motion slowed down on the Cantor setslow reflection

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17)

Related Items (4)

General diffusion processes as limit of time-space Markov chains ⋮ Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ On some properties of sticky Brownian motion ⋮ Properties of the EMCEL scheme for approximating irregular diffusions

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