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.
|Number of pages||23|
|Journal||Journal of the Royal Statistical Society. Series B: Statistical Methodology|
|Publication status||Published - 1973|