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Regular version of the site

Article

Статистическая сходимость Марковских экспериментов к диффузионному пределу

Konakov V., Woerner J., Mammen E.

We assume that a high frequency Markov chain runs in the background on a very fine time grid but that it is only observed on a coarser grid. In this paper we show that under appropriate conditions the L1 distance between the joint distribution of the Markov chain  and the distribution of the discretized diffusion limit convergs to zero.