On the functional and local limit theorems for Markov modulated compound Poisson processes
DOI10.1016/J.SPL.2017.05.009zbMATH Open1380.60040OpenAlexW2618446440MaRDI QIDQ1687203FDOQ1687203
Publication date: 22 December 2017
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2017.05.009
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on discrete state spaces (60J27)
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Cited In (7)
- Exponential ergodicity and steady-state approximations for a class of markov processes under fast regime switching
- Optimal Control of Markov-Modulated Multiclass Many-Server Queues
- An embedding of compensated compound Poisson processes with applications to local times
- Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching
- A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
- Analysis of multivariate Markov modulated Poisson processes
- Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
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