Approximating exit times of continuous Markov processes

DOI10.3934/DCDSB.2020076MaRDI QIDQ784312zbMATH OpenOpenAlexFDO

Authors Thomas Kruse, Mikhail Urusov

Publication date 3 August 2020

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.04344

zbMATH Keywords

functional limit theoremnumerical schemeexit timeMarkov chain approximationabsorption timespeed measureone-dimensional Markov process

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: The time at which a one-dimensional continuous strong Markov process attains a boundary point of its state space is a discontinuous path functional and it is, therefore, unclear whether the exit time can be approximated by hitting times of approximations of the process. We prove a functional limit theorem for approximating weakly both the paths of the Markov process and its exit times. In contrast to the functional limit theorem in [arXiv:1902.06249v1] for approximating the paths, we impose a stronger assumption here. This is essential, as we present an example showing that the theorem extended with the convergence of the exit times does not hold under the assumption in [arXiv:1902.06249v1]. However, the EMCEL scheme introduced in [arXiv:1902.06249v1] satisfies the assumption of our theorem, and hence we have a scheme capable of approximating both the process and its exit times for every one-dimensional continuous strong Markov process, even with irregular behavior (e.g., a solution of an SDE with irregular coefficients or a Markov process with sticky features). Moreover, our main result can be used to check for some other schemes whether the exit times converge. As an application we verify that the weak Euler scheme is capable of approximating the absorption time of the CEV diffusion and that the scale-transformed weak Euler scheme for a squared Bessel process is capable of approximating the time when the squared Bessel process hits zero.

Recommendations

• First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
• Approximation of exit times for one-dimensional linear diffusion processes
• The Euler-Maruyama approximation for the absorption time of the CEV diffusion
• Properties of the EMCEL scheme for approximating irregular diffusions
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Cited in

(10)

• Characteristic of exit moments and models of enlargement of states for finite Markov chains in terms of global memory functionals
• Asymptotic Exponentiality of the Distribution of First Exit Times for a Class of Markov Processes with Applications to Quickest Change Detection
• On the exit time from open sets of some semi-Markov processes
• The Euler-Maruyama approximation for the absorption time of the CEV diffusion
• Some state-specific exit probabilities in a Markov-modulated risk model
• On exit time of stable processes
• On exit time from balls of jump-type symmetric Markov processes
• The exit time finite state projection scheme: bounding exit distributions and occupation measures of continuous-time Markov chains
• Properties of the EMCEL scheme for approximating irregular diffusions
• Approximation of exit times for one-dimensional linear diffusion processes

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