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Convergence of stochastic process with Markov switching

Journal: Matematychni Studii (Vol.37, No. 2)

Publication Date:

Authors : ; ;

Page : 203-208

Keywords : stochastic process; Markov switching; diffusion process;

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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.

Last modified: 2014-01-13 20:03:36