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.