Lévy Approximation of Increment Processes with Markov Switching
The authors study weak convergence of increment processes with embedded Markov chain switching in a series scheme. The limit process is a Lévy process where the jump part is a compound Poisson process. The techniques of proof, which are used here, are different from the techniques based on semimartingales. Here, in order to establish convergence of finite-dimensional distributions, the authors develop a singular perturbation technique for reducible-invertible operators of ergodic Markov processes. A result concerning the rate of convergence is also given. This paper is motivated by risk theory and its applications.
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