Weak convergence of Markov-modulated diffusion processes with rapid switching

DOI10.1016/j.spl.2013.12.013zbMath1293.60076arXiv1501.03020OpenAlexW1988995663MaRDI QIDQ2452781

Gang Huang, Peter Spreij, M. R. H. Mandjes

Publication date: 5 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.03020

zbMATH Keywords

weak convergencediffusion processesMarkov modulation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60)

Related Items (4)

Large deviations for Markov-modulated diffusion processes with rapid switching ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ Markov-modulated Ornstein–Uhlenbeck processes ⋮ Explicit Computations for Some Markov Modulated Counting Processes

Cites Work

• Hybrid switching diffusions. Properties and applications
• Stopping times and tightness
• Large deviations for two scaled diffusions
• Weak convergence of Markov-modulated random sequences
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• Option Pricing With Markov-Modulated Dynamics
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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