Markov Chain Approximation of Pure Jump Processes
Probability
2016-11-23 v1
Abstract
In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a given Markov process by Markov chains.
Cite
@article{arxiv.1611.07236,
title = {Markov Chain Approximation of Pure Jump Processes},
author = {Ante Mimica and Nikola Sandrić and René L. Schilling},
journal= {arXiv preprint arXiv:1611.07236},
year = {2016}
}