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Convergence to diffusions with regular boundaries

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  • Helland, Inge S.

Abstract

Earlier results on weak convergence to diffusion processes [8] are generalized to cases where the limiting diffusions may have regular boundaries. The boundaries may be adhesive or reflecting, and in each case we give two different sets of conditions for convergence. It is shown that these conditions are necessary and sufficient for convergence in the same sense as the conditions in [8]. We also extend our results to cases where the coefficients of the diffusions have simple discontinuities, in particular we thereby answer an open question by Keilson and Wellner [9]. Finally we formulate alternative sets of conditions for convergence, with these new sets being more convenient for instance when the sequence under investigation consists of pure jump Markov processes in continuous time.

Suggested Citation

  • Helland, Inge S., 1981. "Convergence to diffusions with regular boundaries," Stochastic Processes and their Applications, Elsevier, vol. 12(1), pages 27-58, October.
    • Handle: RePEc:eee:spapps:v:12:y:1981:i:1:p:27-58
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