LEVY APPROXIMATION OF AN IMPULSE RECURRENT PROCESS WITH MARKOV SWITCHING

被引：0

作者：

Korolyuk, V. S. ^{[1
]}

Limnios, N. ^{[2
]}

Samoilenko, I. V. ^{[1
]}

机构：

[1] Natl Acad Sci Ukraine, Inst Math, Kiev, Ukraine

[2] Univ Technol Compiegne, Lab Math Appl, Compiegne, France

来源：

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2009年 / 80卷

关键词：

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, the weak convergence of impulsive recurrent process with Markov switching in the scheme of Levy approximation is proved. For the relative compactness, a method proposed by R. Liptser for semimartingales is used with a modification, where we apply a solution of a singular perturbation problem instead of an ergodic theorem.

引用

页码：15 / 22

页数：8

共 50 条

[41] An algorithm for generalized impulse-response functions in Markov-switching structural VAR
Karame, F.
ECONOMICS LETTERS, 2012, 117 (01) : 230 - 234
[42] Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme
Korolyuk, VS
Limnios, N
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2003, 46 (07) : 1073 - 1079
[43] SUCCESSIVE APPROXIMATION ALGORITHM FOR AN UNDISCOUNTED MARKOV DECISION-PROCESS
VANDERWAL, J
COMPUTING, 1976, 17 (02) : 157 - 162
[44] QUANTITATIVE APPROXIMATION OF THE PROBABILITY DISTRIBUTION OF A MARKOV PROCESS BY FORMAL ABSTRACTIONS
Soudjani, Sadegh Esmeil Zadeh
Abate, Alessandro
LOGICAL METHODS IN COMPUTER SCIENCE, 2015, 11 (03)
[45] Approximation of the distribution of a stationary Markov process with application to option pricing
Pages, Gilles
Panloup, Fabien
BERNOULLI, 2009, 15 (01) : 146 - 177
[46] The Caratheodory approximation scheme for stochastic differential equations with G-Levy process
Ullah, Rahman
Faizullah, Faiz
Ul Islam, Naeem
MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2023, 46 (13) : 14120 - 14130
[47] Approximation to two independent Gaussian processes from a unique Levy process and applications
Wang, Jun
Song, Xianmei
Shen, Guangjun
Yin, Xiuwei
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2020, 49 (21) : 5220 - 5234
[48] Superdiffusion of a random walk driven by an ergodic Markov process with switching
Fedotov, S.
Milstein, G. N.
Tretyakov, M. V.
JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL, 2007, 40 (22) : 5769 - 5782
[49] PROBABILISTIC PROPERTIES OF A MARKOV-SWITCHING PERIODIC GARCH PROCESS
Aliat, Billel
Hamdi, Faycal
KYBERNETIKA, 2019, 55 (06) : 915 - 942
[50] A second-order weak approximation of SDEs using a Markov chain without Levy area simulation
Yamada, Toshihiro
Yamamoto, Kenta
MONTE CARLO METHODS AND APPLICATIONS, 2018, 24 (04): : 289 - 308

← 1 2 3 4 5 →