The limit properties diffusion process in a semi-Markov environment

• Autorzy: Chabanyuk Y. , Rosa W.

Identyfikatory

DOI

10.17512/jamcm.2018.1.01

• Języki publikacji: EN

Abstrakty

EN

In this paper we consider the stochastic diffusion process with semi-Markov switchings in an averaging scheme. We present results and conditions on convergence to the classic diffusion process, in case with semi-Markov process perturbation is uniformly ergodic. We used small parameter scheme to get the main result.

Słowa kluczowe

EN

stochastic approximation procedure; compensating operator; asymptotic normality of the stochastic procedure; small parameter; martingale characterization; Markov processes; semi-Markov processes

PL

aproksymacja stochastyczna; procedura stochastyczna; proces Markova; proces semi-Markova; stochastyczny proces dyfuzji

• Wydawca: Wydawnictwo Politechniki Częstochowskiej
• Czasopismo: Journal of Applied Mathematics and Computational Mechanics
• Rocznik: 2018
• Tom: Vol. 17, nr 1
• Strony: 5--14
• Opis fizyczny: Bibliogr. 23 poz.

Twórcy

autor

Chabanyuk Y.

• Department of Applied Mathematics Lublin University of Technology Lublin, Poland

autor

Rosa W.

• Department of Applied Mathematics Lublin University of Technology Lublin, Poland

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2018).