Geodesic
A limit theorem for regime-switching diffusion processes
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 29, Tome 495 (2020), pp. 267-276

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We consider an approximation of a regime-switching diffusion process by a family of regime-switching jump Markov processes and prove the corresponding limit theorem. 
@article{ZNSL_2020_495_a15,
     author = {N. V. Smorodina and M. M. Faddeev},
     title = {A limit theorem for regime-switching diffusion processes},
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     publisher = {mathdoc},
     volume = {495},
     year = {2020},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZNSL_2020_495_a15/}
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N. V. Smorodina; M. M. Faddeev. A limit theorem for regime-switching diffusion processes. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 29, Tome 495 (2020), pp. 267-276. http://geodesic.mathdoc.fr/item/ZNSL_2020_495_a15/