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Embedded Markov Chain Approximations in Skorokhod Topologies

Böttcher Björn

Probability and Mathematical Statistics

2019

Vol. 39, Fasc. 2

259--277

We prove a J1-tightness condition for embedded Markov chains and discuss four Skorokhod topologies in a unified manner. 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 a 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 J1, the linear interpolation embedding for M1, the multistep embedding for J2 and a more general embedding for M2. We show that the convergence of the step function embedding in J1 implies the convergence of the other embeddings in the corresponding topologies. For the converse statement, a J1-tightness condition for embedded time-homogeneous Markov chains is given. Additionally, it is shown that J1 convergence is equivalent to the joint convergence in M1 and J2.