Stochastic analysis and applications, 2010-02, Vol.28 (2), p.377-388
2010
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Details
- Autor(en) / Beteiligte
- Titel
- Approximation of SDEs by Population-Size-Dependent Galton-Watson Processes
- Ist Teil von
- Stochastic analysis and applications, 2010-02, Vol.28 (2), p.377-388
- Ort / Verlag
- Philadelphia, PA: Taylor & Francis Group
- Erscheinungsjahr
- 2010
- Quelle
- Taylor & Francis Journals Auto-Holdings Collection
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0736-2994eISSN: 1532-9356DOI: 10.1080/07362990903136496Titel-ID: cdi_pascalfrancis_primary_22483561
- Format
- –
- Schlagworte
- Approximation, Brownian motion, Constraining, Cox-Ingersoll-Ross model, Differential equations, Doob-Meyer decomposition, Exact sciences and technology, Galton-Watson process, Martingale problem, Mathematical analysis, Mathematical models, Mathematics, Population-size-dependent branching, Primary 60H10, 60J80, Probability and statistics, Probability theory and stochastic processes, Sciences and techniques of general use, Secondary 60F17, Stochastic analysis, Stochastic differential equation, Stochastic processes, Stochasticity, Weak convergence