Comparing hitting time behavior of Markov jump processes and their diffusion approximations

DOI10.1137/090750202MaRDI QIDQ3567049zbMATH OpenOpenAlexFDO

Authors Lukasz Szpruch, Desmond J. Higham

Publication date 10 June 2010

Published in Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/13616/

zbMATH Keywords

birth and death processchemical Langevin equationfinite difference methodGillespie algorithmmean exit timesquare root processstochastic differential equationthermodynamic limit

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to equations with nonlinear operators (65J15)

Recommendations

• Boundary behavior of diffusion approximations to Markov jump processes
• On deterministic approximation of Markov processes by ordinary differential equations
• Jump-Diffusion Approximation of Stochastic Reaction Dynamics: Error Bounds and Algorithms
• Approximate analysis of biological systems by hybrid switching jump diffusion
• scientific article; zbMATH DE number 4201322

Cited in

(13)

• Resilient control based on disturbance observer for nonlinear singular stochastic hybrid system with partly unknown Markovian jump parameters
• Comparison of jump-diffusion parameters using passage times estimation
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• Approximation and inference methods for stochastic biochemical kinetics -- a tutorial review
• Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
• Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS- method
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• On constrained Langevin equations and (bio)chemical reaction networks
• A self-exciting switching jump diffusion: properties, calibration and hitting time
• Hybrid simulation of autoregulation within transcription and translation
• A Hierarchy of Network Models Giving Bistability Under Triadic Closure
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Disturbance-observer-based-control and L₂-L_ resilient control for Markovian jump non-linear systems with multiple disturbances and its application to single robot arm system

This page was built for publication: Comparing hitting time behavior of Markov jump processes and their diffusion approximations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3567049)