关于扩散过程游程的离散逼近（英文）  

A Note on Discrete Approximation for Excursions of Diffusion Process

作　　者：何萍[1] 

机构地区：[1]上海财经大学数学学院,上海200433

出　　处：《应用概率统计》2015年第5期527-538,共12页Chinese Journal of Applied Probability and Statistics

基　　金：supported in part by the National Natural Science Foundation of China(11271240)

摘　　要：本文直观描述常返的离散时间马氏链在一个集合的游离.利用基于游离过程出发点和终止点的条件分布给出一个新的流出系统的概率表示.并在简单的场合,确定我们给出的条件游离分布是某扩散过程游离分布的离散逼近.In this paper we describe the excursions from a set explicitly for recurrent Markov chain with discrete time. A new exit system is presented through using a law conditioned by specifying the starting point and ending point of excursions. In a simple case, we verify that our conditioned excursion law is a discrete approximation for that of a diffusion.

关 键 词：马氏链 游离/游程 流出系统 局部时 流入律 

分 类 号：O211.62[理学—概率论与数理统计]