On the functional and local limit theorems for Markov modulated compound Poisson processes

DOI10.1016/J.SPL.2017.05.009MaRDI QIDQ1687203zbMATH OpenOpenAlexFDO

Authors Guodong Pang, Yi Zheng

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

zbMATH Keywords

functional central limit theoremlocal limit theoremMarkov modulated compound Poisson process

Mathematics Subject Classification ID

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

(11)

• A functional central limit theorem for Markov additive arrival processes and its applications to queueing systems
• Semi-Markov modulated Poisson process: probabilistic and statistical analysis
• Weak convergence of Markov-modulated random sequences
• 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
• The strong law of large numbers and a functional central limit theorem for general Markov additive processes
• 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
• 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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