Local approximations of Markov random walks by diffusions |
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Affiliation: | 1. Central Economics Mathematical Institute, Academy of Sciences, Nahimovskii av. 47, 117418 Moscow, Russia;2. Institut für Angewandte Mathematik, Ruprecht-Karls-Universität Heidelberg, Im Neuenheimer Feld 294, 69120 Heidelberg, Germany |
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Abstract: | We consider triangular arrays of Markov random walks that can be approximated by an accompanying sequence of diffusion processes. We give uniform bounds for approximation of scaled transition probabilities by transition densities of the diffusion process. In particular, we state local limit theorems for the case that the Markov random walks converge weakly to a diffusion process. |
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