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arXiv:math/0602429 [math.PR]AbstractReferencesReviewsResources

Small time asymptotics in local limit theorems for Markov chains converging to diffusions

Valentin Konakov

Published 2006-02-20Version 1

We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Local limit theorems for transition densities are proved. The observation time [0,T] may be fixed or lim n T = 0, where nh = T and h is a mesh between two neighboring observation points.

Categories: math.PR, math.ST, stat.TH
Subjects: 62G07, 60G60
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