| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151896 | Statistics & Probability Letters | 2014 | 6 Pages |
Abstract
In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating Markov chain is ergodic and rapidly switching. We prove, in particular, its tightness property based on Aldous’ tightness criterion.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gang Huang, Michel Mandjes, Peter Spreij,