Central Limit Theorem for Functional of Jump Markov Processes

Quan Hoang Vuong

No vq3b6, OSF Preprints from Center for Open Science

Abstract: In this paper some conditions are given to ensure that for a jump homogeneous Markov process {X(t), t ≥ 0} the law of the integral functional of the process: T^{−1/2}\int^{T}_0 ϕ(X(t))dt, converges to the normal law N(0, σ^{2}) as T →∞, where ϕ is a mapping from the state space E into R. (*Citation: Nguyen Van Huu, Vuong Quan Hoang, & Tran Minh Ngoc. (2005). Central Limit Theorem for Functional of Jump Markov Processes. Vietnam Journal of Mathematics, vol. 33, No. 4, pages 443–461.)

Date: 2005-12-14
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:vq3b6

DOI: 10.31219/osf.io/vq3b6

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