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Weak convergence of Markov-modulated diffusion processes with rapid switching.
- Source :
-
Statistics & Probability Letters . Mar2014, Vol. 86, p74-79. 6p. - Publication Year :
- 2014
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 86
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 94306751
- Full Text :
- https://doi.org/10.1016/j.spl.2013.12.013