On diffusion approximation with discontinuous coefficients

Details On diffusion approximation with discontinuous coefficients On diffusion approximation with discontinuous coefficients

2002-04-24

arxiv.org/abs/math/0204289v1

Mathematics

Probability

29 pages

Scientific paper

Convergence of stochastic processes with jumps to diffusion processes is
investigated in the case when the limit process has discontinuous coefficients.
An example is given in which the diffusion approximation of a queueing model
yields a diffusion process with discontinuous diffusion and drift coefficients.

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