Abstract
It is shown in this paper that several birth-death-type models (univariate as well as multivariate) can be approximated by Ornstein-Uhlenbeck processes as certain parameters become large. Such approximations are valuable whenever the Kolmogorov differential equation cannot be solved in closed form.
| Original language | English |
|---|---|
| Pages (from-to) | 1-23 |
| Number of pages | 23 |
| Journal | Journal of the Royal Statistical Society. Series B: Statistical Methodology |
| Volume | 35 |
| Issue number | 1 |
| Publication status | Published - 1973 |
| Externally published | Yes |