Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks : open access journal 10 (2022) 6, pp. 1-16
, for the Poisson process, a De Vylder-type approximation has already been introduced. The idea of the diffusion … approximation presented here is based on the weak convergence of stochastic processes, which enables one to replace the original …