Weak convergence of a series scheme of Markov chains to the solution of a Lévy driven SDE

T. I. Kosenkova
Theory of Stochastic Processes
Vol.18 (34), no.1, 2012, pp.86-100
Under the assumptions analogous to those of Gnedenko's theorem, the weak convergence of a series scheme of Markov chains to the solution of a L\'evy driven SDE is obtained.