Markov chain approximations for transition densities of Lévy processes

DOI10.1214/EJP.V19-2208zbMATH Open1303.60038arXiv1211.0476OpenAlexW2130347183MaRDI QIDQ2637751FDOQ2637751

Authors: Aleksandar Mijatović, Matija Vidmar, S. D. Jacka 

Publication date: 14 February 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider the convergence of a continuous-time Markov chain approximation X^h, h>0, to an R^d-valued Levy process X. The state space of X^h is an equidistant lattice and its Q-matrix is chosen to approximate the generator of X. In dimension one (d=1), and then under a general sufficient condition for the existence of transition densities of X, we establish sharp convergence rates of the normalised probability mass function of X^h to the probability density function of X. In higher dimensions (d>1), rates of convergence are obtained under a technical condition, which is satisfied when the diffusion matrix is non-degenerate.

Full work available at URL: https://arxiv.org/abs/1211.0476

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zbMATH Keywords

continuous-time Markov chainspectral representationconvergence rates for semi-groups and transition densitiesLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on discrete state spaces (60J27)

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