Levy Approximation of Impulsive Recurrent Process with Markov Switching

V. S. Koroliuk; N. Limnios; I. V. Samoilenko

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arXiv · 0911.0168

Levy Approximation of Impulsive Recurrent Process with Markov Switching

V. S. Koroliuk·N. Limnios·I. V. Samoilenko

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Abstract

In this paper, the weak convergence of impulsive recurrent process with Markov switching in the scheme of Levy approximation is proved. For the relative compactness, a method proposed by R. Liptser for semimartingales is used with a modification, where we apply a solution of a singular perturbation problem instead of an ergodic theorem.

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V. S. Koroliuk, N. Limnios, I. V. Samoilenko. 2009-11-01. Levy Approximation of Impulsive Recurrent Process with Markov Switching. https://arxiv.org/abs/0911.0168

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