Forschungsseminar der Wahrscheinlichkeitstheorie:``Convergence of sequence of Markov chains to Lèvy-type process: uniqueness of the solution to the martingale problem and explicit bounds for the convergence rate''
19.05.2015, 14:15-15:45
– Am Neuen Palais, Haus 22 Raum 1.27
Forschungsseminar Wahrscheinlichkeitstheorie
Tania Kosenkova (Potsdam)
The notion of a coupling distance on a space of Lèvy measures is introduced.
It occured that if the Lèvy kernel is Lipschitz continuous in space variable in the coupling distance the martingale problem for a generator of a Lèvy-type process has a unique solution.
In terms of the coupling distance is given the explicit bound for the convergence rate of a sequence of step processes associated to a triangular array of Markov chains to a Lèvy-type process.