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Limit Behavior of a Compound Poisson Process with Switching Between Multiple Values

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The paper deals with the limit behavior of a compound Poisson process with switching between a finite number of sequences of i.i.d. random variables. The switching is provided by Bernoulli’s random variables. Under suitable normalization, the limit process is a Brownian motion with switching variance.

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References

  1. A. N. Borodin, “Limit behavior of a compound Poisson process with switching,” Zap. Nauchn. Semin. POMI, 466, 54–66 (2017); English transl. J. Math. Sci., 244, No. 5, 733–742 (2020).

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Authors and Affiliations

  1. St. Petersburg Department of the Steklov Mathematical Institute, St. Petersburg, Russia

    A. N. Borodin

  2. St. Petersburg State University, St. Petersburg, Russia

    A. N. Borodin

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  1. A. N. Borodin
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Correspondence to A. N. Borodin.

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Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 486, 2018, pp. 44–62.

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Borodin, A.N. Limit Behavior of a Compound Poisson Process with Switching Between Multiple Values. J Math Sci 258, 764–776 (2021). https://doi.org/10.1007/s10958-021-05579-w

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  • DOI: https://doi.org/10.1007/s10958-021-05579-w

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