Chernoff-Mehler Approximation for Lévy Processes with Drift
Fuente:
arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866914169451708416 |
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| author | Nendel, Max |
| author_facet | Nendel, Max |
| contents | In this paper, we study an approximation scheme for Lévy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for Lévy-Ornstein-Uhlenbeck processes. The approximation scheme is based on a variant of the Chernoff product formula on the space of bounded continuous functions. In a first step, we provide sufficient and necessary conditions for arbitrary families of probability measures, indexed by positive real numbers, to give rise to a convolution semigroup via a Chernoff approximation on the space of bounded continuous functions, equipped with the mixed topology. In this context, we provide explicit criteria both for the convergence of subsequences and the entire family, and discuss fine properties related to the domain of the associated generator of the Lévy process and the infinitesimal behavior of the approximating family of measures. In a second step, we enrich the family of measures by a deterministic component and derive explicit conditions that ensure both the convergence of subsequences and the entire family to a Lévy process with drift under a Chernoff approximation. In a series of examples, we show that our general conditions on the dynamics are satisfied, for example, by flows of Lipschitz ordinary differential equations, Euler schemes, and arbitrary Runge-Kutta methods, and that the Central Limit Theorem can be subsumed under our framework. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_19414 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Chernoff-Mehler Approximation for Lévy Processes with Drift Nendel, Max Probability Analysis of PDEs In this paper, we study an approximation scheme for Lévy processes with drift in terms of a representation that is akin to the celebrated Mehler formula for Lévy-Ornstein-Uhlenbeck processes. The approximation scheme is based on a variant of the Chernoff product formula on the space of bounded continuous functions. In a first step, we provide sufficient and necessary conditions for arbitrary families of probability measures, indexed by positive real numbers, to give rise to a convolution semigroup via a Chernoff approximation on the space of bounded continuous functions, equipped with the mixed topology. In this context, we provide explicit criteria both for the convergence of subsequences and the entire family, and discuss fine properties related to the domain of the associated generator of the Lévy process and the infinitesimal behavior of the approximating family of measures. In a second step, we enrich the family of measures by a deterministic component and derive explicit conditions that ensure both the convergence of subsequences and the entire family to a Lévy process with drift under a Chernoff approximation. In a series of examples, we show that our general conditions on the dynamics are satisfied, for example, by flows of Lipschitz ordinary differential equations, Euler schemes, and arbitrary Runge-Kutta methods, and that the Central Limit Theorem can be subsumed under our framework. |
| title | Chernoff-Mehler Approximation for Lévy Processes with Drift |
| topic | Probability Analysis of PDEs |
| url | https://arxiv.org/abs/2511.19414 |