On Limit Results for a Class of Singularly Perturbed Switching Diffusions

G. Yin
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G. Yin: Wayne State University

Journal of Theoretical Probability, 2001, vol. 14, issue 3, 673-697

Abstract: Abstract This work is devoted to the weak convergence analysis of a class of aggregated processes resulting from singularly perturbed switching diffusions with fast and slow motions. The processes consist of diffusion components and pure jump components. The states of the pure jump component are naturally divisible into a number of classes. Aggregate the states in each weakly irreducible class by a single state leading to an aggregated process. Under suitable conditions, it is shown that the aggregated process converges weakly to a switching diffusion process whose generator is an average with respect to the quasi-stationary distribution of the jump process.

Keywords: singularly perturbed Markov process; switching diffusion; aggregation; weak convergence (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1023/A:1017541022565

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