Central Limit Theorem for Functional of Jump Markov Processes

Abstract

Abstract: Some conditions are given to ensure that for a jump homogeneous Markov process $\{X (t), t\ ge 0\} $ the law of the integral functional of the process $ T^{-1/2}\ int^ T_0\ varphi (X (t)) dt $ converges to the normal law $ N (0,\ sigma^ 2) $ as $ T\ to\ infty $, where $\ varphi $ is a mapping from the state space $ E $ into $\ bbfR $.