Poisson Approximation of Impulsive Recurrent Process with Semi-Markov Switching

被引：5
作者：
Koroliuk, V. S. [2 ]
Limnios, N. [1 ]
Samoilenko, I. V. [2 ]
机构：
[1] Univ Technol Compiegne, LMAC GI, Lab Math Appl, F-60205 Compiegne, France
[2] Ukrainian Natl Acad Sci, Inst Math, Kiev, Ukraine
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2011年 / 29卷 / 05期
关键词：
Impulsive recurrent process; Insurance; Poisson approximation; Semimartingale; Semi-Markov process; Risk process; Singular perturbation; Weak convergence;
D O I：
10.1080/07362994.2011.598780
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this article, the weak convergence of impulsive recurrent process with semi-Markov switching in the scheme of Poisson approximation is proved. Singular perturbation problem for the compensating operator of the extended Markov renewal process is used to prove the relative compactness.
引用
收藏
页码：769 / 778
页数：10
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