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.

Processes with switching

Switching diffusions

Semimartingales

Fast switching

Asymptotic stability

Författare

Sören Christensen

Christian-Albrechts-Universität zu Kiel

Universität Hamburg

A. Irle

Christian-Albrechts-Universität zu Kiel

Stochastic Processes and their Applications

0304-4149 (ISSN)

Vol. 125 9 3623-3635

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1016/j.spa.2015.03.010

Mer information

Senast uppdaterat

2022-02-01