Convergence of switching diffusions

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Christensen, Soeren^1,2  Irle, Albrecht¹ 

[1] Univ Kiel, Math Seminar, D-24098 Kiel, Germany

[2] Univ Hamburg, Dept Math, SPST, D-20146 Hamburg, Germany

关键词: Processes with switching;    Switching diffusions;    Fast switching;    Asymptotic stability;    Semimartingales;   

DOI  :  10.1016/j.spa.2015.03.010

来源: Elsevier

【 摘 要 】

This paper studies the asymptotic behavior of processes with switching. More precisely, the stability under fast switching for diffusion processes and discrete state space Markovian processes is considered. The proofs are based on semimartingale techniques, so that no Markovian assumption for the modulating process is needed. (C) 2015 Elsevier B.V. All rights reserved.

【 授权许可】

Free