On the jump-diffusion approximation of stochastic difference equations driven by a mixing sequence (Q909348)
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scientific article; zbMATH DE number 4137129
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the jump-diffusion approximation of stochastic difference equations driven by a mixing sequence |
scientific article; zbMATH DE number 4137129 |
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On the jump-diffusion approximation of stochastic difference equations driven by a mixing sequence (English)
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1990
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The main purpose of this paper is to establish a limit theorem for a sequence of stochastic processes determined by random difference equations driven by \(\psi\)-mixing processes. A feature of this work is that the limiting process is a Markov process with jumps whereas the prelimiting processes are non-Markovian.
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weak convergence
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Markov process
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mixing
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limit theorem
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random difference equations
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0.9286872
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0.9122216
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0.9041389
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0.9016484
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