Convergence of switching diffusions
Artikel i vetenskaplig tidskrift, 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.
Semimartingales
Asymptotic stability
Switching diffusions
Processes with switching
Fast switching
Författare
Sören Christensen
A. Irle
Stochastic Processes and their Applications
0304-4149 (ISSN)
Vol. 125 9 3623-3635Ämneskategorier
Sannolikhetsteori och statistik
DOI
10.1016/j.spa.2015.03.010