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Limit theorems of additive functionals for regime-switching diffusions with infinite delay

Author

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  • Wang, Ya
  • Wu, Fuke
  • Yin, George

Abstract

This paper focuses on a class of regime-switching functional diffusion processes with infinite delay and develops a central limit theorem (CLT) for additive functionals under uniform mixing conditions. In addition, a law of iterated logarithm (LIL) for the additive functionals is also established by using the square integrable martingale difference sequences. Finally, two examples are given to illustrate our results.

Suggested Citation

  • Wang, Ya & Wu, Fuke & Yin, George, 2024. "Limit theorems of additive functionals for regime-switching diffusions with infinite delay," Stochastic Processes and their Applications, Elsevier, vol. 167(C).
    • Handle: RePEc:eee:spapps:v:167:y:2024:i:c:s0304414923001783
    DOI: 10.1016/j.spa.2023.09.002
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    References listed on IDEAS

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    1. Komorowski, Tomasz & Walczuk, Anna, 2012. "Central limit theorem for Markov processes with spectral gap in the Wasserstein metric," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2155-2184.
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