Weak convergence of Markov-modulated diffusion processes with rapid switching

In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating Markov chain is ergodic and rapidly switching. We prove, in particular, its tightness property based on Aldous’ tightness criterion.

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Year of publication:	2014
Authors:	Huang, Gang ; Mandjes, Michel ; Spreij, Peter
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 86.2014, C, p. 74-79
Publisher:	Elsevier
Subject:	Diffusion processes \| Markov modulation \| Weak convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743563