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Pré-Publication, Document De Travail Année : 2017

Lévy-type processes: convergence and discrete schemes

Résumé

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 a slightly different situation, in order 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.
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Dates et versions

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

Identifiants

  • HAL Id : hal-01559496 , version 2

Citer

Mihai Gradinaru, Tristan Haugomat. Lévy-type processes: convergence and discrete schemes. 2017. ⟨hal-01559496v2⟩
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