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Weak convergence of additive functionals of a sequence of
Markov chains
Yuri. I. Kartashov, Alexey. M. Kulik Institute of Mathematics, Ukrainian National Academy of Sciences, Kiev 01601, Tereshchenkivska Str. 3
Аннотация:
We consider additive functionals $\phi_n$, $n\geq1$ defined on a sequence of Markov chains
that weakly converges to a Markov process. We give sufficient condition for $\phi_n$, $n\geq1$ to converge in distribution, formulated in the terms of their characteristics (i.e. expectations). This condition generalizes Dynkin's theorem on convergence of $W$-functionals of a time homogeneous Markov process.
Ключевые слова:
Additive functional, characteristic of additive functional, $W$-functional, local time, Markov approximation.
Образец цитирования:
Yuri. I. Kartashov, Alexey. M. Kulik, “Weak convergence of additive functionals of a sequence of
Markov chains”, Theory Stoch. Process., 15(31):1 (2009), 15–32
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp108 https://www.mathnet.ru/rus/thsp/v15/i1/p15
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Страница аннотации: | 195 | PDF полного текста: | 63 | Список литературы: | 43 |
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