Weak convergence of Markov-modulated diffusion processes with rapid switching

作者：Huang Gang^*; Mandjes Michel; Spreij Peter

来源：Statistics & Probability Letters, 2014, 86: 74-79.

DOI：10.1016/j.spl.2013.12.013

• Diffusion processes
• Markov modulation
• Weak convergence

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.

• 出版日期2014-3