On di!usion approximation with discontinuous coe$cients
نویسنده
چکیده
Convergence of stochastic processes with jumps to di!usion processes is investigated in the case when the limit process has discontinuous coe$cients. An example is given in which the diffusion approximation of a queueing model yields a di!usion process with discontinuous di!usion and drift coe$cients. c © 2002 Elsevier Science B.V. All rights reserved. MSC: 60B10; 60K25
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