Limit theorems of additive functionals for regime-switching diffusions with infinite delay

Ya Wang, Fuke Wu and George Yin

Stochastic Processes and their Applications, 2024, vol. 167, issue C

Abstract: This paper focuses on a class of regime-switching functional diffusion processes with infinite delay and develops a central limit theorem (CLT) for additive functionals under uniform mixing conditions. In addition, a law of iterated logarithm (LIL) for the additive functionals is also established by using the square integrable martingale difference sequences. Finally, two examples are given to illustrate our results.

Keywords: Regime-switching diffusion; Infinite delay; Central limit theorem; Law of the iterated logarithm (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2023.09.002

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