Locally Feller processes and martingale local problems. Part II: discrete schemes and applications - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Locally Feller processes and martingale local problems. Part II: discrete schemes and applications

(1) , (1)
1

Abstract

We characterise the convergence of a certain class of discrete time Markov processes toward locally Feller processes in terms of convergence of associated operators. The theory of locally Feller processes is applied to Lévy-type processes in order to obtain convergence results on discrete and continuous time indexed processes, simulation methods and Euler schemes. We also apply the same theory to get results of convergence of diffusions or random walks toward singular diffusions. As a consequence we deduce the convergence of random walks in random medium toward diffusions in random potential.
Fichier principal
Vignette du fichier
loc_Fel_Mart_II.pdf (413.96 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01559496 , version 1 (10-07-2017)
hal-01559496 , version 2 (05-12-2017)
hal-01559496 , version 3 (21-10-2021)

Identifiers

  • HAL Id : hal-01559496 , version 1

Cite

Mihai Gradinaru, Tristan Haugomat. Locally Feller processes and martingale local problems. Part II: discrete schemes and applications. 2017. ⟨hal-01559496v1⟩
248 View
65 Download

Share

Gmail Facebook Twitter LinkedIn More