Huang, Gang; Mandjes, Michel; Spreij, Peter - In: Statistics & Probability Letters 86 (2014) C, pp. 74-79
In this paper, we study the weak convergence of a sequence of Markov-modulated diffusion processes when the modulating Markov chain is ergodic and rapidly switching. We prove, in particular, its tightness property based on Aldous’ tightness criterion.