Markov Chain Approximation of Pure Jump Processes

Published 22 Nov 2016 in math.PR | (1611.07236v1)

Abstract: In this paper we discuss weak convergence of continuous-time Markov chains to a non-symmetric pure jump process. We approach this problem using Dirichlet forms as well as semimartingales. As an application, we discuss how to approximate a given Markov process by Markov chains.

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