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Principle Seminar of the Department of Probability Theory, Moscow State University
November 19, 2008 16:45, Moscow, MSU, auditorium 16-24


Weak convergence of a difference additive functionals of Markov chains to a local times of random processes

A. M. Kulik

Abstract: We consider difference additive functionals defined on a family of Markov chains that weakly converge to a continuous time Markov process. We introduce an approach that allows one to give sufficient conditions for such a functionals to converge in distribution to a local times of the limiting process, formulated in the terms of their characteristics (i.e. expectations). This result generalizes E.B.Dynkin's theorem on convergence of W-functionals of a time homogeneous Markov process


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