Well-timed diffusion approximations
Well-timed diffusion approximations
复制标题
适时的扩散近似
DOI：
10.2307/1426688
复制
发表时间：
1981
影响因子：
1.2
通讯作者：
J. Walsh
中科院分区：
文献类型：
--
作者：
J. Walsh
设X是直线上的马尔可夫过程。在一定条件下，有可能找到一个扩散过程，它是X在以下意义上的近似：（1）X可以嵌入，即存在停止时间（Tt），使得{Xt，t ≥ 0}和具有相同的分布;（2）对于每个t，E {Tt}= t。我们称之为对X的适时扩散近似，并认为它对于近似X的首次退出概率和期望首次退出时间等量是有用的。我们确定在几种特殊情况下的适时近似，并给出了一个渐近近似的情况下，不能准确地确定使用。
Let X be a Markov process on the line. Under certain conditions it is possible to find a diffusion process which is an approximation to X in the following sense: (1) X can be embedded in that is there are stopping times (Tt ) such that {Xt , t ≥ 0} and have the same distribution; (2) for each t, E{Tt } = t. We call the well-timed diffusion approximation to X, and suggest that it is useful for approximating quantities like the first-exit probabilities and expected first-exit times of X. We determine the well-timed approximation in several special cases and give an asymptotic approximation for use in cases in which cannot be exactly determined.
DOI：
10.1002/9781118231296.ch8
发表时间：
2018-11
期刊：
Gauge Integral Structures for Stochastic Calculus and Quantum Electrodynamics
影响因子：
--
作者：
Dr. Gergely Záruba
通讯作者：
Dr. Gergely Záruba