Linear trend exclusion for models defined with stochastic differential and difference equations

被引：3

作者：

Konakov, V. D. ^{[1
]}

Markova, A. R. ^{[1
]}

机构：

[1] Natl Res Univ Higher Sch Econ, Moscow, Russia

来源：

AUTOMATION AND REMOTE CONTROL | 2015年 / 76卷 / 10期

关键词：

EDGEWORTH-TYPE EXPANSIONS; MARKOV-CHAINS; TRANSITION DENSITIES; DIFFUSIONS;

D O I：

10.1134/S0005117915100057

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider a sequence of Markov chains that weakly converge to a diffusion process. We assume that the trend contains a linearly growing component. The usual parametrix method does not apply since the trend is unbounded. We show how to modify the parametrix method in order to get local limit theorems in this case.

引用

页码：1771 / 1783

页数：13

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