On the Limit Distribution Function of the Value of a Diffusion Semi-Markov Process on Interval with Unattainable Boundaries
摘要
A diffusion semi-Markov process on a finite interval with unattainable boundaries is considered. It is assumed that unattainable property is not connected with process stop in the interval. A limit theorem for alternating renewal processes is applied to derive the limit distribution function of the diffusion process.