Diffusion Approximations of Markovian Solutions to Discontinuous ODEs

Abstract

In a companion paper, the authors have characterized all deterministic semigroups, and all Markov semigroups, whose trajectories are Carathéodory solutions to a given ODE $$\dot{x} = f(x)$$ , where f is a possibly discontinuous, regulated function. The present paper establishes two approximation results. Namely, every deterministic semigroup can be obtained as the pointwise limit of the flows generated by a sequence of ODEs $$\dot{x}=f_n(x)$$ with smooth right hand sides. Moreover, every Markov semigroup can be obtained as limit of a sequence of diffusion processes with smooth drifts and with diffusion coefficients approaching zero.