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Regular version of the site

Book chapter

Approximation of diffusion processes on solvable Lie groups by random walks. Local and quasi-local limit theorems

P. 202-206.

This note states several results on the exponential functionals of the Brownian motion and their approximations by Markov chains. Starting from M.Yor, such functionals were studied in mathematical finance. At the same time, they play a significant role in different settings: the analysis of diffusions on the class of solvable Lie groups, in particular on the group of (2 X 2) upper triangular matrices, with positive diagonal elements. The discrete random walks cannot properly describe the local structure of diffusion. However, instead of the usual local limit theorem (which is not applicable) its weaker form, namely quasi-local form is given.