The AMS website will be down for maintenance on May 23 between 6:00am - 8:00am EDT. For questions please contact AMS Customer Service at or (800) 321-4267 (U.S. & Canada), (401) 455-4000 (Worldwide).


Remote Access Theory of Probability and Mathematical Statistics

Theory of Probability and Mathematical Statistics

ISSN 1547-7363(online) ISSN 0094-9000(print)



Strong Markov approximation of Lévy processes and their generalizations in a scheme of series

Author: T. I. Kosenkova
Translated by: N. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 86 (2012).
Journal: Theor. Probability and Math. Statist. 86 (2013), 123-136
MSC (2010): Primary 60J25, 60F17, 60B10
Published electronically: August 20, 2013
MathSciNet review: 2986454
Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: The notion of the strong Markov approximation that generalizes the notion of the Markov approximation is introduced. We consider an infinitesimal scheme of series that satisfies the assumptions of a Gnedenko theorem. Under these assumptions, we prove that a sequence of step processes constructed from a corresponding random walk is a strong Markov approximation for a Lévy process. The same result is obtained for a sequence of difference approximations of a solution to a stochastic differential equation driven by a Lévy noise.

References [Enhancements On Off] (What's this?)

Similar Articles

Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2010): 60J25, 60F17, 60B10

Retrieve articles in all journals with MSC (2010): 60J25, 60F17, 60B10

Additional Information

T. I. Kosenkova
Affiliation: Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue, 4E, Kiev 03127, Ukraine

Keywords: L\'evy processes, central limit theorem in a scheme of series, strong Markov approximation
Received by editor(s): June 21, 2011
Published electronically: August 20, 2013
Article copyright: © Copyright 2013 American Mathematical Society

American Mathematical Society