Markov chain approximations for transition densities of Lévy processes

DOI10.1214/EJP.V19-2208MaRDI QIDQ2637751zbMATH OpenOpenAlexFDO

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

Publication date 14 February 2014

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

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

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)

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.

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