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Diffusion approximation of stochastic Markov models with persistent regression

Sequences of sums of identically distributed random variables forming a homogeneous Markov chain are approximated by a time-discrete autoregression process of Ornstein-Uhlenbeck type.

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Bibliographic Details
Date:	1995
Main Authors:	Koroliuk, D., Korolyuk, V. S., Королюк, Д., Королюк, В. С.
Format:	Article
Language:	English
Published:	Institute of Mathematics, NAS of Ukraine 1995
Online Access:	https://umj.imath.kiev.ua/index.php/umj/article/view/5487
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Journal Title:	Ukrains’kyi Matematychnyi Zhurnal
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Ukrains’kyi Matematychnyi Zhurnal

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