He Ping. A Note on Discrete Approximation for Excursions of Diffusion Process[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(5): 527-538.
Citation: He Ping. A Note on Discrete Approximation for Excursions of Diffusion Process[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(5): 527-538.

A Note on Discrete Approximation for Excursions of Diffusion Process

  • 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.
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