On diffusion approximation with discontinuous coefficients
نویسندگان
چکیده
منابع مشابه
On Diffusion Approximation with Discontinuous Coefficients
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.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2002
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(02)00181-3