Chernoff approximation of subordinate semigroups

Abstract

This note is devoted to the approximation of evolution semigroups generated by some Markov processes and hence to the approximation of transition probabilities of these processes. The considered semigroups correspond to processes obtained by subordination (i.e. by a time-change) of some original (parent) Markov processes with respect to some subordinators, i.e. Lévy processes with a.s. increasing paths (they play the role of the new time). If the semigroup, corresponding to a parent Markov process, is not known explicitly then neither the subordinate semigroup, nor even the generator of the subordinate semigroup are known explicitly too. In this note, some (Chernoff) approximations are constructed for subordinate semigroups (in the case when subordinators have either known transitional probabilities, or known and bounded Lévy measure) under the condition that the parent semigroups are not known but are already Chernoff-approximated. As it has been shown in the recent literature, this condition is fulfilled for several important classes of Markov processes. This fact allows, in particular, to use the constructed Chernoff approximations of subordinate semigroups, in order to approximate semigroups corresponding to subordination of Feller processes and (Feller type) diffusions in Euclidean spaces, star graphs and Riemannian manifolds. Such approximations can be used for direct calculations and simulation of stochastic processes. The method of Chernoff approximation is based on the Chernoff theorem and can be interpreted also as a construction of Markov chains approximating a given Markov process and as the numerical path integration method of solving the corresponding PDE/SDE.