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Principle Seminar of the Department of Probability Theory, Moscow State University
November 19, 2008 16:45, Moscow, MSU, auditorium 16-24
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Weak convergence of a difference additive functionals of Markov
chains to a local times of random processes
A. M. Kulik |
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Abstract:
We consider difference additive functionals defined on a family
of Markov chains that weakly converge to a continuous time Markov
process. We introduce an approach that allows one to give
sufficient conditions for such a functionals to converge in
distribution to a local times of the limiting process, formulated
in the terms of their characteristics (i.e. expectations). This
result generalizes E.B.Dynkin's theorem on convergence of
W-functionals of a time homogeneous Markov process
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