Markov Jump Processes Approximating a Nonsymmetric Generalized Diffusion: numerics explained to probabilists

Nedzad Limić

Consider a non-symmetric generalized diffusion $X(\cdot )$ in ${\mathbb{R}}^d$ determined by the differential operator $A(\msx)=-\sum_{ij} \partial_ia_{ij}(\msx)\partial_j +\sum_i b_i(\ms…