Poisson approximation of processes with locally independent increments and Markov switching

DOI10.1090/S0094-9000-2015-00939-XzbMath1329.60077MaRDI QIDQ2944757

Igor V. Samoilenko, Nikolaos Limnios

Publication date: 8 September 2015

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2015-00939-x

zbMATH Keywords

weak convergence; singular perturbation; additive functionals; Poisson approximation; semimartingale; piecewise deterministic Markov process; locally independent increments

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G60: Random fields

60F05: Central limit and other weak theorems

60G48: Generalizations of martingales

60B10: Convergence of probability measures

60F17: Functional limit theorems; invariance principles

60J55: Local time and additive functionals

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

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Cites Work

• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Random perturbation methods with applications in science and engineering
• Poisson Approximation of Processes with Locally Independent Increments with Markov Switching
• Upper Bounds for Exponential Moments of Hitting Times for Semi-Markov Processes
• Semimartingales and Markov processes
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