Weak convergence of Markovian random evolution in a multidimensional space

Details Weak convergence of Markovian random evolution in a multidimensional space Weak convergence of Markovian random evolution in a multidimensional space

2011-12-29

arxiv.org/abs/1112.6242v1

Mathematics

Probability

Scientific paper

We study Markovian symmetry and non-symmetry random evolutions in $\mathbf{R}^n$. Weak convergence of Markovian symmetry random evolution to Wiener process and of Markovian non-symmetry random evolution to a diffusion process with drift is proved using problems of singular perturbation for the generators of evolutions. Relative compactness in $\mathbf{D}_{\mathbf{R}^n\times\Theta}[0,\infty)$ of the families of Markovian random evolutions is also shown.

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