Approximation of SDEs by population-size-dependent Galton-Watson processes

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DC Field	Value	Language
dc.contributor.author	Zähle, Henryk	-
dc.date.accessioned	2009-01-14T11:41:53Z	-
dc.date.available	2009-01-14T11:41:53Z	-
dc.date.issued	2009-01-14T11:41:53Z	-
dc.identifier.uri	http://hdl.handle.net/2003/25998	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-14437	-
dc.description.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.	en
dc.language.iso	en	de
dc.relation.ispartofseries	Preprints der Fakultät für Mathematik;2009-01	de
dc.subject	stochastic differential equation	en
dc.subject	Galton-Watson process	en
dc.subject	populationsize-dependent branching	en
dc.subject	weak convergence	en
dc.subject	martingale problem	en
dc.subject	Doob-Meyer decomposition	en
dc.subject	Cox-Ingersoll-Ross model	en
dc.subject.ddc	610	-
dc.title	Approximation of SDEs by population-size-dependent Galton-Watson processes	en
dc.type	Text	de
dc.type.publicationtype	preprint	en
dcterms.accessRights	open access	-
Appears in Collections:	Preprints der Fakultät für Mathematik

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