Rate of convergence of the distribution of semimartingales to the distribution of a diffusion process with jumps. I

DOI10.1007/BF00966458zbMath0721.60060OpenAlexW2079299338MaRDI QIDQ2641003

Kęstutis Kubilius

Publication date: 1990

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00966458

zbMATH Keywords

rate of convergencediffusion processLévy-Prokhorov distancedistributions of semimartingalespredictable characteristics of semimartingales

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Diffusion processes (60J60)

Related Items (1)

On the rate of convergence of the diffusion approximations

Cites Work

• Approximation by distributions of sums of conditionally independent random variables
• Rate of convergence in the functional central limit theorem for semimartingales
• An exact rate of convergence in the functional central limit theorem for special martingale difference arrays
• [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
• Ideal Metrics in the Problem of Approximating Distributions of Sums of Independent Random Variables
• On normal approximation of a process with independent increments
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