Limit theorems for Markov random walks

Loon Ching Tang

Statistics & Probability Letters, 1993, vol. 18, issue 4, 265-270

Abstract: For Markov Random walks we obtain the central limit theorem and law of iterated logarithm for the additive component of Markov random walks. The parameters involved are computed explicitly in terms of the transition measure of the Markov random walk. An application in finance is briefly discussed.

Keywords: Markov; random; walks; central; limit; theorem; law; of; iterated; logarithm (search for similar items in EconPapers)
Date: 1993
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