Weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain

Abstract: Our aim is to find sufficient conditions for weak convergence of stochastic integrals with respect to the state occupation measure of a Markov chain. First, we study properties of the state indicator function and the state occupation measure of a Markov chain. In particular, we establish weak convergence of the state occupation measure under a scaling of the generator matrix. Then, relying on the connection between the state occupation measure and the Dynkin martingale related to the state indicator function, we provide sufficient conditions for weak convergence of stochastic integrals with respect to the state occupation measure.