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

Simple item page
dc.contributor.authorZähle, Henryk
dc.date.accessioned2009-01-14T11:41:53Z
dc.date.available2009-01-14T11:41:53Z
dc.date.issued2009-01-14T11:41:53Z
dc.description.abstractA 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.identifier.urihttp://hdl.handle.net/2003/25998
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-14437
dc.language.isoende
dc.relation.ispartofseriesPreprints der Fakultät für Mathematik;2009-01de
dc.subjectstochastic differential equationen
dc.subjectGalton-Watson processen
dc.subjectpopulationsize-dependent branchingen
dc.subjectweak convergenceen
dc.subjectmartingale problemen
dc.subjectDoob-Meyer decompositionen
dc.subjectCox-Ingersoll-Ross modelen
dc.subject.ddc610
dc.titleApproximation of SDEs by population-size-dependent Galton-Watson processesen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
mathematicalPreprint09-01.pdf
Size:
321.57 KB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.03 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Preprints der Fakultät für Mathematik