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

Research paper by Valentin Konakov

Indexed on: 20 Feb '06Published on: 20 Feb '06Published in: Mathematics - Probability



Abstract

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.