The non-locality of Markov chain approximations to two-dimensional diffusions
In this short paper, we consider discrete-time Markov chains on lattices as approximations to continuous-time diffusion processes. The approximations can be interpreted as finite difference schemes for the generator of the process. We derive conditions on the diffusion coefficients which permit tran...
| 第一著者: | |
|---|---|
| フォーマット: | Journal article |
| 出版事項: |
Elsevier
2016
|