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Diffusion approximation of evolutionary systems with equilibrium in asymptotic split phase space


Authors: Vladimir S. Korolyuk and Nikolaos Limnios
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 70 (2004).
Journal: Theor. Probability and Math. Statist. 70 (2005), 71-82
MSC (2000): Primary 60J55, 60J75, 60F17
Published electronically: August 26, 2005
MathSciNet review: 2109825
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Abstract | References | Similar Articles | Additional Information

Abstract: In this paper we consider an additive functional of a Markov process with locally independent increments switched by a Markov process. For this functional, we obtain nonhomogeneous diffusion approximation results without balance condition on the drift parameter. A more general diffusion approximation result is obtained in the case of an asymptotic split phase space of the switching Markov process.


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Additional Information

Vladimir S. Korolyuk
Affiliation: Ukrainian National Academy of Sciences, Ukraine

Nikolaos Limnios
Affiliation: Université de Technologie de Compiègne, France

DOI: https://doi.org/10.1090/S0094-9000-05-00632-0
Keywords: Diffusion approximation, additive functional, asymptotic split phase space, Markov process with locally independent increments, nonhomogeneous diffusion
Received by editor(s): January 20, 2004
Published electronically: August 26, 2005
Additional Notes: This work is partially supported by INTAS project # 9900016.
Article copyright: © Copyright 2005 American Mathematical Society