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Markov Chain Approximation of Pure Jump Processes

  • Ante Mimica
  • Nikola Sandrić
  • René L. Schilling
Article

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.

Keywords

Non-symmetric Dirichlet form Non-symmetric Hunt process Markov chain Mosco convergence Semimartingale Semimartingale characteristics Weak convergence 

Mathematics Subject Classification (2010)

60J25 60J27 60J75 

Notes

Acknowledgements

Financial support through the Croatian Science Foundation (under Project 3526) (for Ante Mimica), the Croatian Science Foundation (under Project 3526) and the Dresden Fellowship Programme (for Nikola Sandrić) is gratefully acknowledged.

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Copyright information

© Springer Science+Business Media B.V., part of Springer Nature 2018

Authors and Affiliations

  • Ante Mimica
  • Nikola Sandrić
    • 1
  • René L. Schilling
    • 2
  1. 1.Faculty of Civil EngineeringUniversity of ZagrebZagrebCroatia
  2. 2.Institut für Mathematische Stochastik, Fachrichtung MathematikTU DresdenDresdenGermany

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