Measure-valued diffusion

  • A. V. Skorokhod

Abstract

We consider the class of continuous measure-valued processes {μ t } on a finite-dimensional Euclidean space X for which ∫fd μ t is a semimartingale with absolutely continuous characteristics with respect to t for all f:X→R smooth enough. It is shown that, under some general condition, the Markov process with this property can be obtained as a weak limit for systems of randomly interacting particles that are moving in X along the trajectories of a diffusion process in X as the number of particles increases to infinity.
Published
25.03.1997
How to Cite
SkorokhodA. V. “Measure-Valued Diffusion”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 49, no. 3, Mar. 1997, pp. 458–464, https://umj.imath.kiev.ua/index.php/umj/article/view/5018.
Section
Research articles