Embedded Markov chain approximations in Skorokhod topologies

Abstract

In order to approximate a continuous time stochastic process by discrete time Markov chains one has several options to embed the Markov chains into continuous time processes. On the one hand there is the Markov embedding, which uses exponential waiting times. On the other hand each Skorokhod topology naturally suggests a certain embedding. These are the step function embedding for $J_1$, the linear interpolation embedding for $M_1$, the multi step embedding for $J_2$ and a more general embedding for $M_2$. We show that the convergence of the step function embedding in $J_1$ implies the convergence of the other embeddings in the corresponding topologies, respectively. For the converse statement a $J_1$-tightness condition for embedded Markov chains is given. The result relies on various representations of the Skorokhod topologies. Additionally it is shown that $J_1$ convergence is equivalent to the joint convergence in $M_1$ and $J_2$.

arXiv commentTo appear in Probability and Mathematical Statistics