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Zap. Nauchn. Sem. POMI, 2017, Volume 466, Pages 54–66 (Mi znsl6540)  

Limit behaviour of a compound Poisson process with switching

A. N. Borodinab

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

Abstract: The paper deals with the limit behaviour of a compound Poisson process with switching. The switching is provided with Bernulli's random variables. Under suitable normalization the limit process is a Brownian motion with switching variance.

Key words and phrases: telegraph process, compound Poisson process with switching, limit distribution.

Funding Agency Grant Number
Russian Academy of Sciences - Federal Agency for Scientific Organizations PRAS-18-01
Russian Foundation for Basic Research 16-01-00367
Saint Petersburg State University СПбГУ-DFG 6.65.37.2017


Full text: PDF file (196 kB)
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Document Type: Article
UDC: 519.2
Received: 23.10.2017

Citation: A. N. Borodin, “Limit behaviour of a compound Poisson process with switching”, Probability and statistics. Part 26, Zap. Nauchn. Sem. POMI, 466, POMI, St. Petersburg, 2017, 54–66

Citation in format AMSBIB
\Bibitem{Bor17}
\by A.~N.~Borodin
\paper Limit behaviour of a compound Poisson process with switching
\inbook Probability and statistics. Part~26
\serial Zap. Nauchn. Sem. POMI
\yr 2017
\vol 466
\pages 54--66
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl6540}


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