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A Limit Theorem for Regime-Switching Diffusion Processes

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An approximation of a regime-switching diffusion process by a family of regime-switching jump Markov processes is considered. The corresponding limit theorem is proved.

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Author information

Authors and Affiliations

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

    N. V. Smorodina

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

    N. V. Smorodina & M. M. Faddeev

Authors
  1. N. V. Smorodina
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  2. M. M. Faddeev
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Corresponding author

Correspondence to N. V. Smorodina.

Additional information

Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 495, 2020, pp. 267–276.

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Smorodina, N.V., Faddeev, M.M. A Limit Theorem for Regime-Switching Diffusion Processes. J Math Sci 268, 704–710 (2022). https://doi.org/10.1007/s10958-022-06240-w

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  • DOI: https://doi.org/10.1007/s10958-022-06240-w

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