Difference approximation for local times of multidimensional diffusions
Probability
2007-05-23 v2
Abstract
We consider sequences of additive functionals of difference approximations for uniformly non-degenerate multidimensional diffusions. The conditions are given, sufficient for such a sequence to converge weakly to a W-functional of the limiting process. The class of the W-functionals, that can be obtained as the limiting ones, is completely described in the terms of the associated W-measures, and coincides with the class of the functionals that are regular w.r.t. the phase variable.
Cite
@article{arxiv.math/0702175,
title = {Difference approximation for local times of multidimensional diffusions},
author = {Alexey M. Kulik},
journal= {arXiv preprint arXiv:math/0702175},
year = {2007}
}
Comments
17 pages; submitted to TViMC (Theor. Probability and Math. Statist.)