A. N. Borodin, “Limit behavior of a compound Poisson process with switching and dominated terms”, Zap. Nauchn. Sem. POMI, 2018, Volume 474,Pages <nobr>46

This article is cited in 1 paper

Limit behavior of a compound Poisson process with switching and dominated terms

A. N. Borodin^ab

^a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences, St. Petersburg, Russia
^b Saint Petersburg State University, Saint Petersburg, Russia

Abstract: The paper deals with the limit behavior of a compound Poisson process with switching and dominated terms. The switching is provided with Bernulli's random variables and a Markov chain. Under suitable normalization the limit process is a Brownian motion with switching variance and jumps.

Key words and phrases: Bernulli random variables, Markov chain, compound Poisson process with switching and dominated terms, limit distribution.

UDC: 519.2

Received: 10.10.2018