马尔可夫链的微分方程近似

IF 1.3 Q2 STATISTICS & PROBABILITY Probability Surveys Pub Date : 2007-10-17 DOI:10.1214/07-PS121
R. Darling, J. Norris
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引用次数: 288

摘要

我们给出了一些简单的条件,在这些条件下,马尔可夫链可以用微分方程的解来近似,并具有可量化的误差概率。强调了马尔可夫链坐标函数选择的作用。一般理论通过三个例子来说明:经典的随机流行病,具有快慢变量的种群过程模型,以及大型随机超图的寻核算法。
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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.
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来源期刊
Probability Surveys
Probability Surveys STATISTICS & PROBABILITY-
CiteScore
4.70
自引率
0.00%
发文量
9
期刊最新文献
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