Markov-modulated Ornstein–Uhlenbeck processes

DOI10.1017/apr.2015.15zbMath1337.60191arXiv1412.7952OpenAlexW240227400MaRDI QIDQ2806355

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Publication date: 17 May 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7952

zbMATH Keywords

functional central limit theoremregime switchingOrnstein-Uhlenbeck processesMarkov modulationmartingale techniques

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (11)

Large deviations for Markov-modulated diffusion processes with rapid switching ⋮ Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory ⋮ Analytic value function for optimal regime-switching pairs trading rules ⋮ PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ Linear stochastic fluid networks: rare-event simulation and Markov modulation ⋮ Functional central limit theorems for Markov-modulated infinite-server systems ⋮ Explicit Computations for Some Markov Modulated Counting Processes ⋮ Broken detailed balance and non-equilibrium dynamics in noisy social learning models ⋮ A Diffusion-Based Analysis of a Multiclass Road Traffic Network

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