Diffusion approximation of evolutionary systems with equilibrium in asymptotic split phase space
Authors:
Vladimir S. Korolyuk and Nikolaos Limnios
Journal:
Theor. Probability and Math. Statist. 70 (2005), 71-82
MSC (2000):
Primary 60J55, 60J75, 60F17
DOI:
https://doi.org/10.1090/S0094-9000-05-00632-0
Published electronically:
August 26, 2005
MathSciNet review:
2109825
Full-text PDF Free Access
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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
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
