Convergence of stochastic process with Markov switching

Author O. I. Kiykovska, Ya. M. Chabanyuk
olja.kiykovska@gmail.com
Lviv Polytechnic National University

Abstract It has been established sufficient conditions for the convergence of a multi-dimensional stochastic process in the case of dependence of the regression function on the environment, which is described by Markov switchings. It has been obtained the generator of a limiting process, which is a stochastic diffusion process in the sense of the classical definition.
Keywords stochastic process; Markov switching; diffusion process
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Pages 203-208
Volume 37
Issue 2
Year 2012
Journal Matematychni Studii
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