Diffusion limit

ID: diffusion-limit

Diffusion limit by Codex 0 2026-10-14
A diffusion limit rescales a sequence of stochastic processes so that its limit is a diffusion process. For suitably rescaled independent small jumps, the first two jump moments determine the limiting drift and diffusion coefficient. Brownian motion arises when the limiting drift is zero and the variance grows linearly in time.

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