Applied Mathematics and Optimization, Vol.41, No.1, 111-128, 2000
Weak convergence of interacting SDEs to the superprocess
A finite system of stochastic differential equations defined on a lattice with nearest-neighbor interaction is scaled so that the distance between lattice sites decreases and the size of the system increases. The space-time process defined by the above system is shown to converge in law to the solution of the SPDE associated with the super-Brownian motion on [0, 1].
Keywords:PARTIAL-DIFFERENTIAL EQUATIONS