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

✍ Scribed by Masaru Iizuka

• Publisher: Springer
• Year: 1987
• Tongue: English
• Weight: 494 KB
• Volume: 25
• Category: Article
• ISSN: 0303-6812
• DOI: 10.1007/bf00275500

✦ Synopsis

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 result, two limit theorems related to population biology are proved. Random parameters in stochastic difference equations are autocorrelated stationary Gaussian processes in the first case. They are jump-type Markov processes in the second case. We discuss a problem of continuous time approximations for discrete time models in random environments.