Convergence of switching diffusions
Journal article, 2015
© 2015 Elsevier B.V. This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on semimartingale techniques, so that no Markovian assumption for the modulating process is needed.
Processes with switching
Switching diffusions
Semimartingales
Fast switching
Asymptotic stability
Author
Sören Christensen
University of Kiel
University of Hamburg
A. Irle
University of Kiel
Stochastic Processes and their Applications
0304-4149 (ISSN)
Vol. 125 9 3623-3635Subject Categories
Probability Theory and Statistics
DOI
10.1016/j.spa.2015.03.010