# 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