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.
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.
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.