Lévy and Poisson approximations of switched stochastic systems by a semimartingale approach

DOI10.1016/J.CRMA.2016.04.008zbMATH Open1339.60028OpenAlexW2371614836MaRDI QIDQ292529FDOQ292529

Authors: N. Limnios, V. S. Korolyuk, I. V. Samoĭlenko 

Publication date: 8 June 2016

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2016.04.008

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zbMATH Keywords

weak convergenceadditive functionalssemimartingalesMarkov switchingPoisson approximation schemesLévy approximation schemes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Cites Work

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• Poisson approximation of processes with locally independent increments with Markov switching
• Stochastic systems in merging phase space.
• Semimartingales and Markov processes
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• Poisson Approximation of Increment Processes with Markov Switching

Cited In (13)

• Martingale problems for switched processes
• Double merging of the phase space for stochastic differential equations with small additions in Poisson approximation conditions
• Asymptotic dissipativity for merged stochastic evolutionary systems with Markov switchings and impulse perturbations under conditions of Lévy approximation
• Control problem for the impulse process under stochastic optimization procedure and Lévy conditions
• Asymptotic properties of the impulse perturbation process under Lévy approximation conditions with the point of equilibrium of the quality criterion
• Differential equations with small stochastic terms under the Lévy approximating conditions
• Asymptotic dissipativity of random processes with impulse perturbation in the Poisson approximation scheme
• Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme
• Poisson approximation of processes with locally independent increments with Markov switching
• Peculiarities of construction and analysis of the information warfare model with Markov switchings and impulse perturbations under Levy approximation conditions
• Lévy Approximation of Increment Processes with Markov Switching
• Differential equations with small stochastic additions under Poisson approximation conditions
• Lévy approximation of impulsive recurrent process with semi-Markov switching

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