On the Weak Convergence of a Sequence of General Stochastic Difference Equations to a Diffusion

DOI10.1137/0140044zbMath0458.60074OpenAlexW2057200429MaRDI QIDQ3908278

Harold J. Kushner, Hai Huang

Publication date: 1981

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0140044

zbMATH Keywords

weak convergencemartingale problemstochastic difference equations

Mathematics Subject Classification ID

Stochastic approximation (62L20) Diffusion processes (60J60) Convergence of probability measures (60B10) Stochastic analysis (60H99)

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