Weak convergence of a sequence of stochastic difference equations to a stochastic ordinary differential equation : Masaru Iizuka, Kyushu University, Fukuoka, Japan

Weak convergence of a sequence of stocha

Weak convergence of a sequence of stochastic difference equations to a stochastic ordinary differential equation

✍ Masaru Iizuka 📂 Article 📅 1987 🏛 Springer 🌐 English ⚖ 494 KB

We consider a sequence of discrete parameter stochastic processes defined by solutions to stochastic difference equations. A condition is given that this sequence converges weakly to a continuous parameter process defined by solutions to a stochastic ordinary differential equation. Applying this res