Approximation of SDEs by Population-Size-Dependent Galton-Watson Processes

被引：1

作者：

Zaehle, Henryk ^{[1
]}

机构：

[1] Tech Univ Dortmund, Fak Math, D-44227 Dortmund, Germany

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2010年 / 28卷 / 02期

关键词：

Cox-Ingersoll-Ross model; Doob-Meyer decomposition; Galton-Watson process; Martingale problem; Population-size-dependent branching; Stochastic differential equation; Weak convergence; BRANCHING-PROCESSES; LIMIT;

D O I：

10.1080/07362990903136496

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A certain class of stochastic differential equations, containing the Cox-Ingersoll-Ross model and the geometric Brownian motion, is considered. The corresponding solutions are approximated weakly by discrete-time population-size-dependent Galton-Watson processes with immigration. The long-time behavior of the limiting processes is also investigated.

引用

页码：377 / 388

页数：12

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