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Ergodicity of diffusion and temporal uniformity of diffusion approximation

Published online by Cambridge University Press:  14 July 2016

M. Frank Norman
M. Frank Norman*
Affiliation:
University of Pennsylvania
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Abstract

Let {XN (t), t ≧ 0}, N = 1, 2, … be a sequence of continuous-parameter Markov processes, and let TN (t)f(x) = Ex [f(XN (t))]. Suppose that limN→∞ T N (t)f(x)= T(t)f(x), and that convergence is uniform over x and over t ∈ [0, K] for all K < ∞. When is convergence uniform over t ∈ [0, ∞)? Questions of this type are considered under the auxiliary condition that T(t)f(x) converges uniformly over x as t → ∞. A criterion for such ergodicity is given for semigroups T(t) associated with one-dimensional diffusions. The theory is illustrated by applications to genetic models.

Keywords

DIFFUSION APPROXIMATIONERGODIC THEORYGENETIC MODELS

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 14 , Issue 2 , June 1977, pp. 399 - 404
Copyright
Copyright © Applied Probability Trust 1977 

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