Lévy Approximation of Increment Processes with Markov Switching

DOI10.1080/10451120412331292207MaRDI QIDQ4653005zbMATH OpenOpenAlexFDO

Authors V. S. Korolyuk, N. Limnios

Publication date 28 February 2005

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10451120412331292207

zbMATH Keywords

compound Poisson processLévy processMarkov additive processrisk processweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25) Processes in random environments (60K37)

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Cited in

(7)

• Lévy approximation of impulsive recurrent process with semi-Markov switching
• Lévy and Poisson approximations of switched stochastic systems by a semimartingale approach
• An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter
• Lévy approximation of an impulse recurrent process with Markov switching
• Poisson Approximation of Increment Processes with Markov Switching
• Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme
• Diffusion approximation of gamma processes in semi-Markov random media

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