Authors: Zähle, Henryk
Title: Approximation of SDEs by population-size-dependent Galton-Watson processes
Language (ISO): en
Abstract: 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.
Subject Headings: stochastic differential equation
Galton-Watson process
populationsize-dependent branching
weak convergence
martingale problem
Doob-Meyer decomposition
Cox-Ingersoll-Ross model
Issue Date: 2009-01-14T11:41:53Z
Appears in Collections:Preprints der Fakultät für Mathematik

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