Аннотация:
We consider additive functionals $\phi_n$, $n\geq1$ defined on a sequence of Markov chains
that weakly converges to a Markov process. We give sufficient condition for $\phi_n$, $n\geq1$ to converge in distribution, formulated in the terms of their characteristics (i.e. expectations). This condition generalizes Dynkin's theorem on convergence of $W$-functionals of a time homogeneous Markov process.
Ключевые слова:Additive functional, characteristic of additive functional, $W$-functional, local time, Markov approximation.