|Title:||Approximation of SDEs by population-size-dependent Galton-Watson processes|
|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|
|Appears in Collections:||Preprints der Fakultät für Mathematik|
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