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Compound Poisson Approximation with Drift for Stochastic Additive Functionals with Markov and Semi-Markov Switching

In: Recent Advances in Applied Probability

Author

Listed:
  • Vladimir S. Korolyuk

    (Ukrainian National Academy of Science)

  • Nikolaos Limnios

    (Université de Technologie de Compiègne)

Abstract

We present Poisson,approximation results for additive functionals switched by Markov and semi-Markov processes. The weak convergence results are obtained via semimartingale representations of additive functionals and the convergence of generators for Markov processes and of compensative operator of the extended Markov renewal processes. This is a review paper of our previous results given in [Korolyuk, 2002; Korolyuk, 2002A].

Suggested Citation

  • Vladimir S. Korolyuk & Nikolaos Limnios, 2005. "Compound Poisson Approximation with Drift for Stochastic Additive Functionals with Markov and Semi-Markov Switching," Springer Books, in: Ricardo Baeza-Yates & Joseph Glaz & Henryk Gzyl & Jürgen Hüsler & José Luis Palacios (ed.), Recent Advances in Applied Probability, pages 279-297, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-23394-9_13
    DOI: 10.1007/0-387-23394-6_13
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