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arXiv 0712.2428math.PR
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一维扩散的极限

Limits Of One Dimensional Diffusions

George Lowther

摘要:

在本文中,我们期待在一个序列的实值时间非齐次扩散的极限的性质。当收敛仅在有限维分布的意义上时,则极限不一定是扩散。然而,我们发现,只要漂移项满足利普希茨条件和极限是连续的概率,那么它将躺在一类过程,我们称之为几乎连续的扩散。这些过程是强马尔可夫的,并满足一个“几乎连续”的条件。我们还给出了极限为连续扩散的一个简单条件。这些结果与多维的情况下,如我们所示的一个例子,一个序列的二维鞅扩散可以收敛到一个过程,这是不连续的和非马尔可夫。

英文摘要:

In this paper we look at the properties of limits of a sequence of real valued time inhomogeneous diffusions. When convergence is only in the sense of finite-dimensional distributions then the limit does not have to be a diffusion. However, we show that as long as the drift terms satisfy a Lipschitz condition and the limit is continuous in probability, then it will lie in a class of processes that we refer to as almost-continuous diffusions. These processes are strong Markov and satisfy an `almost-continuity' condition. We also give a simple condition for the limit to be a continuous diffusion. These results contrast with the multidimensional case where, as we show with an example, a sequence of two dimensional martingale diffusions can converge to a process that is both discontinuous and non-Markov.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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