On diffusion approximation with discontinuous coefficients

被引：12

作者：

Krylov, NV ^{[1
]}

Liptser, R

机构：

[1] Univ Minnesota, Sch Math, Minneapolis, MN 55455 USA

[2] Tel Aviv Univ, Dept Elect Engn Syst, IL-69978 Tel Aviv, Israel

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2002年 / 102卷 / 02期

关键词：

diffusion approximation; stochastic differential equations; weak convergence;

D O I：

10.1016/S0304-4149(02)00181-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a diffusion process with discontinuous diffusion and drift coefficients. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：235 / 264

页数：30

共 50 条

[41] A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
Lejay, A
Martinez, M
ANNALS OF APPLIED PROBABILITY, 2006, 16 (01): : 107 - 139
[42] THE MULTI-GRID METHOD FOR THE DIFFUSION EQUATION WITH STRONGLY DISCONTINUOUS COEFFICIENTS
ALCOUFFE, RE
BRANDT, A
DENDY, JE
PAINTER, JW
SIAM JOURNAL ON SCIENTIFIC AND STATISTICAL COMPUTING, 1981, 2 (04): : 430 - 454
[43] A discontinuous Galerkin method for time fractional diffusion equations with variable coefficients
K. Mustapha
B. Abdallah
K. M. Furati
M. Nour
Numerical Algorithms, 2016, 73 : 517 - 534
[44] Exact controllability to trajectories for semilinear heat equations with discontinuous diffusion coefficients
Doubova, A
Osses, A
Puel, JP
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2002, 8 : 621 - 661
[45] Efficient numerical calculation of drift and diffusion coefficients in the diffusion approximation of kinetic equations
Bonnaillie-Noel, V.
Carrillo, J. A.
Goudon, T.
Pavliotis, G. A.
IMA JOURNAL OF NUMERICAL ANALYSIS, 2016, 36 (04) : 1536 - 1569
[46] A discontinuous Galerkin method for time fractional diffusion equations with variable coefficients
Mustapha, K.
Abdallah, B.
Furati, K. M.
Nour, M.
NUMERICAL ALGORITHMS, 2016, 73 (02) : 517 - 534
[47] A FEM for singularly perturbed diffusion problems with discontinuous coefficients and concentrated factors
Zlateva, KZ
ANALYTICAL AND NUMERICAL METHODS FOR CONVECTION-DOMINATED AND SINGULARLY PERTURBED PROBLEMS, 2000, : 265 - 271
[48] Finite volume element approximation for nonlinear diffusion problems with degenerate diffusion coefficients
Wu, Dan
Yue, Jingyan
Yuan, Guangwei
Lv, Junliang
APPLIED NUMERICAL MATHEMATICS, 2019, 140 : 23 - 47
[49] DISCONTINUOUS GALERKIN APPROXIMATION OF RELAXATION MODELS FOR LINEAR AND NONLINEAR DIFFUSION EQUATIONS
Cavalli, Fausto
Naldi, Giovanni
Perugia, Ilaria
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2012, 34 (01): : A105 - A136
[50] Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients
Zhang, Gongqiu
Li, Lingfei
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2022, 13 (03): : 1144 - 1190

← 1 2 3 4 5 →