Convergence of switching diffusions

Sören Christensen and Albrecht Irle

Stochastic Processes and their Applications, 2015, vol. 125, issue 9, 3623-3635

Abstract: 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.

Keywords: Processes with switching; Switching diffusions; Fast switching; Asymptotic stability; Semimartingales (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:9:p:3623-3635

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DOI: 10.1016/j.spa.2015.03.010

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