Central Limit Theorem for Functional of Jump Markov Processes

Some conditions are given to ensure that for a jump homogeneous Markov process $\{X(t),t\ge 0\}$ the law of the integral functional of the process $T^{-1/2} \int^T_0\varphi(X(t))dt$ converges to the normal law $N(0,\sigma^2)$ as $T\to \infty$, where $\varphi$ is a mapping from the state space $E$ into $\bbfR$

Year of publication:	2010
Authors:	Huu, Nguyen Van
Other Persons:	Vuong, Quan Hoang (contributor) ; minh, tran ngoc (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory

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