Convergence of stochastic process with Markov switching
Journal: Matematychni Studii (Vol.37, No. 2)Publication Date: 2012-04-01
Authors : Kiykovska O. I.; Chabanyuk Ya. M.;
Page : 203-208
Keywords : stochastic process; Markov switching; diffusion process;
Abstract
It has been established sufficient conditions for the convergence of a multi-dimensional stochastic process in the case of dependence of the regression function on the environment, which is described by Markov switchings. It has been obtained the generator of a limiting process, which is a stochastic diffusion process in the sense of the classical definition.
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