This article is cited in 7 papers

Poisson approximation of increment processes with Markov switching

V. S. Korolyuk^a, N. Limnios<sup>b

a</sup> National Taras Shevchenko University of Kyiv
^b Université de Technologie de Compiégne

Abstract: In this paper we present weak convergence results for Markov switched increment processes toward a compound Poisson process. The switching Markov process is considered also with an asymptotic split phase space. These results are obtained by a semimartingale approach.

Keywords: increment process, semimartingale, Markov process, weak convergence, compound Poisson process, merging scheme.

Received: 22.12.2000

Language: English

DOI: 10.4213/tvp191

 English version: Theory of Probability and its Applications, 2005, 49:4, 629–644

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