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
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: 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
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