Poisson approximation of processes with locally independent increments and Markov switching

The weak convergence of additive functionals is studied for stochastic processes with locally independent increments and with Markov switching in the scheme of Poisson approximation. The singular perturbation problem for the generator of a Markov process is used to prove the relative compactness.

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Bibliographic Details
Published in:Theory of probability and mathematical statistics 2014, Vol.89, p.115-126
Main Authors: Limnios, N., Samoilenko, I. V.
Format: Article
Language:English
Online Access:Get full text
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Description
Summary:The weak convergence of additive functionals is studied for stochastic processes with locally independent increments and with Markov switching in the scheme of Poisson approximation. The singular perturbation problem for the generator of a Markov process is used to prove the relative compactness.
ISSN:0094-9000
1547-7363
DOI:10.1090/S0094-9000-2015-00939-X