2002/04/24 by Н. В. Крылов, N. V. Krylov, Krylov, N. V. +2
Business, Management and Accounting · Economics, Econometrics and Finance · Mathematics · #60B10 #60K25} #Advanced Queuing Theory Analysis #Applied mathematics #Computer science #Convergence (economics) #Diffusion #Diffusion process #Economics #FOS: Mathematics #Heavy traffic approximation #Innovation diffusion #Limit (mathematics) #Mathematical analysis #Mathematics #Physics #Probability (math.PR) #Queue #Queueing theory #Statistical physics #Statistics #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Symplectic Geometry (math.SG) #Thermodynamics #Weak convergence #math.PR #math.SG #msc:60B10
paper · pdf · doi:10.48550/arxiv.math/0204289
29 pages
arxiv created 2002/04/24 · openalex publication_date 2002/04/24 · arxiv updated 2016/09/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a diffusion process with discontinuous diffusion and drift coefficients.