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A Multilevel Birth-Death Particle System and Its Continuous Diffusion

Yadong Wu
Advances in Applied Probability
Vol. 25, No. 3 (Sep., 1993), pp. 549-569
DOI: 10.2307/1427523
Stable URL: http://www.jstor.org/stable/1427523
Page Count: 21
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A Multilevel Birth-Death Particle System and Its Continuous Diffusion
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Abstract

In this paper we introduce a multilevel birth-death particle system and consider its diffusion approximation which can be characterized as a M( R+)-valued process. The tightness of rescaled processes is proved and we show that the limiting M( R+)-valued process is the unique solution of the M( R+)-valued martingale problem for the limiting generator. We also study the moment structures of the limiting diffusion process.

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