Dynamic random evolutions on increasing time intervals

DOI10.1090/S0094-9000-2013-00876-XMaRDI QIDQ2849279zbMATH OpenOpenAlexFDO

Authors V. S. Korolyuk

Publication date 17 September 2013

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0094-9000-2013-00876-x

zbMATH Keywords

averagingdiffusion approximationdynamic random evolutionexponential nonlinear operatorlarge deviations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25)

Review text

The paper studies the asymptotic behavior of random evolutions in increasing time intervals by using solutions of the singular perturbation problem for reducible-invertible operators. The asymptotic behavior is studied in the scheme of series with a small parameter \(\varepsilon\), \(\varepsilon \to 0\). The paper establishes the averaging scheme or the law of large numbers, diffusion approximation or central limit theorem, and asymptotic behavior of large deviations or the exponential estimate of small probabilities. Each type of limit theorem corresponds to peculiar normalization condition given in terms of the small parameter.

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Cited in

(4)

• Random evolutions with locally independent increments on increasing time intervals
• Large deviations problem for random evolution processes
• scientific article; zbMATH DE number 1523793 (Why is no real title available?)
• Random evolution in a scheme of asymptotically small diffusion with Markov switchings

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