APPROXIMATION OF FELLER PROCESSES BY MARKOV CHAINS WITH LÉVY INCREMENTS

We consider Feller processes whose generators have the test functions as an operator core. In this case, the generator is a pseudo differential operator with negative definite symbol q(x, ξ). If |q(x, ξ)| < c(1 + |ξ|2), the corresponding Feller process can be approximated by Markov chains whose steps are increments of Levy processes. This approximation can easily be used for a simulation of the sample path of a Feller process. Further, we provide conditions in terms of the symbol for the transition operators of the Markov chains to be Feller. This gives rise to a sequence of Feller processes approximating the given Feller process.

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