Weak convergence of Markov-modulated diffusion processes with rapid switching

DOI10.1016/j.spl.2013.12.013zbMath1293.60076arXiv1501.03020MaRDI 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 convergence; diffusion processes; Markov modulation

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60J60: Diffusion processes

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

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