Central Limit Theorem for Functional of Jump Markov Processes

Vietnam Journal of Mathematics, Vol. 33, No. 4, pp. 443-461, 2005

21 Pages Posted: 2 Aug 2009 Last revised: 6 Jul 2010

See all articles by Nguyen Van Huu

Nguyen Van Huu

Hanoi National University of Education

Quan Hoang Vuong

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management; Phenikaa University

tran ngoc minh

Hanoi National University of Education

Date Written: December 15, 2005

Abstract

Some conditions are given to ensure that for a jump homogeneous Markov process $\{X(t),t\ge 0\}$ the law of the integral functional of the process $T^{-1/2} \int^T_0\varphi(X(t))dt$ converges to the normal law $N(0,\sigma^2)$ as $T\to \infty$, where $\varphi$ is a mapping from the state space $E$ into $\bbfR$.

Keywords: Central limit theorem, jump Markov process

JEL Classification: C00, C02, C16

Suggested Citation

Huu, Nguyen Van and Vuong, Quan Hoang and minh, tran ngoc, Central Limit Theorem for Functional of Jump Markov Processes (December 15, 2005). Vietnam Journal of Mathematics, Vol. 33, No. 4, pp. 443-461, 2005, Available at SSRN: https://ssrn.com/abstract=1442425

Nguyen Van Huu

Hanoi National University of Education ( email )

136 Xuan Thuy-Cau Giay
Hanoi
Vietnam

Quan Hoang Vuong (Contact Author)

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management ( email )

ULB CP 145/01
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+32-2-6504864 (Phone)
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HOME PAGE: http://www.ceb-ulb.com/vuong-quan-hoang.html

Phenikaa University ( email )

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Hanoi, Hanoi 100803
Vietnam

HOME PAGE: http://sites.google.com/site/vuongqh2019/

Tran ngoc Minh

Hanoi National University of Education ( email )

136 Xuan Thuy-Cau Giay
Hanoi
Vietnam

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