Weak convergence of Markov-modulated diffusion processes with rapid switching
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| Publication date | 2014 |
| Journal | Statistics & Probability Letters |
| Volume | Issue number | 86 |
| Pages (from-to) | 74-79 |
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| Abstract | In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating Markov chain is ergodic and rapidly switching. We prove, in particular, its tightness property based on Aldous’ tightness criterion. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1016/j.spl.2013.12.013 |
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