{"title":"马尔可夫链的微分方程近似","authors":"R. Darling, J. Norris","doi":"10.1214/07-PS121","DOIUrl":null,"url":null,"abstract":"We formulate some simple conditions under which a Markov chain may be approximated by the solution to a differential equation, with quantifiable error probabilities. The role of a choice of coordinate functions for the Markov chain is emphasised. The general theory is illustrated in three examples: the classical stochastic epidemic, a population process model with fast and slow variables, and core-finding algorithms for large random hypergraphs.","PeriodicalId":46216,"journal":{"name":"Probability Surveys","volume":"5 1","pages":"37-79"},"PeriodicalIF":1.3000,"publicationDate":"2007-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1214/07-PS121","citationCount":"288","resultStr":"{\"title\":\"Differential equation approximations for Markov chains\",\"authors\":\"R. Darling, J. Norris\",\"doi\":\"10.1214/07-PS121\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We formulate some simple conditions under which a Markov chain may be approximated by the solution to a differential equation, with quantifiable error probabilities. The role of a choice of coordinate functions for the Markov chain is emphasised. The general theory is illustrated in three examples: the classical stochastic epidemic, a population process model with fast and slow variables, and core-finding algorithms for large random hypergraphs.\",\"PeriodicalId\":46216,\"journal\":{\"name\":\"Probability Surveys\",\"volume\":\"5 1\",\"pages\":\"37-79\"},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2007-10-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1214/07-PS121\",\"citationCount\":\"288\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Probability Surveys\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1214/07-PS121\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Probability Surveys","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/07-PS121","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Differential equation approximations for Markov chains
We formulate some simple conditions under which a Markov chain may be approximated by the solution to a differential equation, with quantifiable error probabilities. The role of a choice of coordinate functions for the Markov chain is emphasised. The general theory is illustrated in three examples: the classical stochastic epidemic, a population process model with fast and slow variables, and core-finding algorithms for large random hypergraphs.