Increment processes and its stochastic exponential with Markov switching in Poisson approximation scheme

DOI10.1016/S0898-1221(03)90121-0zbMath1045.60097MaRDI QIDQ597361

Nikolaos Limnios, Vladimir S. Korolyuk

Publication date: 6 August 2004

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Poisson approximationWeak convergenceprocessMarkovIncrement processSemimartingaleStochastic exponential process

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

Related Items (3)

Semi-Markov Random Walk in Poisson Approximation Scheme ⋮ Average and diffusion approximation of stochastic evolutionary systems in an asymptotic split state space ⋮ Normal Deviation and Poisson Approximation of a Security Market by the Geometric Markov Renewal Processes

Cites Work

• Switching processes: Averaging principle, diffusion approximation and applications
• Explosive Poisson shot noise processes with applications to risk reserves
• Semimartingales and Markov processes
• Poisson Approximation of Increment Processes with Markov Switching
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