Weak convergence of Markov-modulated diffusion processes with rapid switching

Gang Huang, Michel Mandjes and Peter Spreij

Statistics & Probability Letters, 2014, vol. 86, issue C, 74-79

Abstract: In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating Markov chain is ergodic and rapidly switching. We prove, in particular, its tightness property based on Aldous’ tightness criterion.

Keywords: Diffusion processes; Markov modulation; Weak convergence (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2013.12.013

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