Document Zbl 0579.60075

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On the convergence of Markov chains to diffusion processes. (Russian) Zbl 0579.60075

Teor. Veroyatn. Mat. Stat. 31, 51-64 (1984).

Conditions are obtained for convergence (uniform on compact sets) of the transition densities of certain sequences of Markov chains to a limit, given by the solution to a diffusion equation. Both Gaussian and other distributions are discussed; bounded and Lipschitz hypotheses are assumed.

Reviewer: B.D.Craven

Cited in 2 Reviews

Cited in 4 Documents

MSC:

60J60	Diffusion processes
60B10	Convergence of probability measures

Keywords:

convergence of distributions; transition densities

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