Stochastic systems arising from Markov modulated empirical measures

DOI10.1007/S11424-016-5248-4MaRDI QIDQ1697658zbMATH OpenOpenAlexFDO

Authors Gang Yin, Trang Bui

Publication date 20 February 2018

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-016-5248-4

zbMATH Keywords

weak convergenceregime-switching modelmulti-scale modelingempirical measureBrownian bridge limit

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete event control/observation systems (93C65) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
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• Aggregation of Variables in Dynamic Systems
• Asymptotic properties of Markov-modulated random sequences with fast and slow timescales
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Continuous-time Markov chains and applications. A two-time-scale approach
• Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching
• Convergence of stochastic processes
• Discrete-Time Markov Chains
• Generalized autoregressive conditional heteroscedasticity
• Hybrid switching diffusions. Properties and applications
• Threshold-type policies for real options using regime-switching models
• Tracking a Markov-Modulated Stationary Degree Distribution of a Dynamic Random Graph

Cited in

(5)

• Asymptotic properties of Markov-modulated random sequences with fast and slow timescales
• Weak convergence of Markov-modulated random sequences
• Generalized Modulated Random Measures and Their Potentials
• Sequences of random matrices modulated by a discrete-time Markov chain*
• A decoupling principle for Markov-modulated chains

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