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Zapiski Nauchnykh Seminarov POMI, 2020, Volume 495, Pages 267–276 (Mi znsl7008)  
A limit theorem for regime-switching diffusion processes

N. V. Smorodinaab, M. M. Faddeevb

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
b Saint Petersburg State University
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Abstract: We consider an approximation of a regime-switching diffusion process by a family of regime-switching jump Markov processes and prove the corresponding limit theorem.
Key words and phrases: switching processes, limit theorems, diffusion processes.
Funding agency Grant number
Russian Foundation for Basic Research 19-01-00657
Received: 07.10.2020
Document Type: Article
UDC: 519.2
Language: Russian
Citation: N. V. Smorodina, M. M. Faddeev, “A limit theorem for regime-switching diffusion processes”, Probability and statistics. Part 29, Zap. Nauchn. Sem. POMI, 495, POMI, St. Petersburg, 2020, 267–276
Citation in format AMSBIB
\Bibitem{SmoFad20}
\by N.~V.~Smorodina, M.~M.~Faddeev
\paper A limit theorem for regime-switching diffusion processes
\inbook Probability and statistics. Part~29
\serial Zap. Nauchn. Sem. POMI
\yr 2020
\vol 495
\pages 267--276
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl7008}
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