A martingale method for the convergence of a sequence of processes to a jump-diffusion process

DOI10.1007/BF01013317MaRDI QIDQ3207784zbMATH OpenOpenAlexFDO

Authors Harold J. Kushner

Publication date 1980

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

Full work available at URL https://doi.org/10.1007/bf01013317

zbMATH Keywords

weak convergencemartingale methodconvergence of a sequence of process to a jump- diffusion process

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Martingales with continuous parameter (60G44)

Cites work

• scientific article; zbMATH DE number 3602431 (Why is no real title available?)
• scientific article; zbMATH DE number 3629987 (Why is no real title available?)
• scientific article; zbMATH DE number 3630004 (Why is no real title available?)
• A General Theorem on the Convergence of Operator Semigroups
• Asymptotic theory of mixing stochastic ordinary differential equations
• Diffusion processes with boundary conditions
• Diffusion processes with continuous coefficients, I
• Extensions of Trotter's operator semigroup approximation theorems
• Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides
• On Stochastic Processes Defined by Differential Equations with a Small Parameter
• Semigroups of conditioned shifts and approximation of Markov processes
• Stability and Control of Stochastic Systems with Wide-band Noise Disturbances. I

Cited in

(7)

• Generalized threshold latent variable model
• Weak convergence and approximations for partial differential equations with stochastic coefficients
• Fluctuations in certain dynamical systems with averaging
• Approximating multiple itô integrals with "band limited" processes
• A differential delay equation with wideband noise perturbations
• Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory
• Diffusion approximations for nonlinear phase locked loop-type systems with wide band inputs

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