Weak convergence of a series scheme of Markov chains to the solution of a Lévy driven SDE

T. I. Kosenkova

Chair of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, 6, Glushkov Ave., Kyiv 03127, Ukraine

Abstract: Under the assumptions analogous to those of Gnedenko's theorem, the weak convergence of a series scheme of Markov chains to the solution of a Lévy driven SDE is obtained.

Keywords: Lévy driven SDE, weak convergence of Markov chains.

MSC: Primary 60J10, 60F17, 60B10; Secondary 60J20

Language: English

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