Central limit theorem for functional of jump Markov processes

Abstract

Abstract. In this paper some conditions are given to ensure that for a jump homoge neous Markov process {X(t), t ≥ 0} the law of the integral functional of the process: T −1/2 0 T ϕ(X(t))dt, converges to the normal law N(0, σ2) as T → ∞, where ϕ is a mapping from the state space E into R.