On the Gaussian approximation for master equations

DOI10.1007/S10955-010-0024-7MaRDI QIDQ1958574zbMATH OpenOpenAlexFDO

Authors Luis F. Lafuerza, Raúl Toral

Publication date 4 October 2010

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1004.1361

zbMATH Keywords

fluctuations in small systemsGaussian closuremaster equationsrate equationsstochastic processes

Mathematics Subject Classification ID

Classical dynamic and nonequilibrium statistical mechanics (general) (82C05) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: We analyze the Gaussian approximation as a method to obtain the first and second moments of a stochastic process described by a master equation. We justify the use of this approximation with ideas coming from van Kampen's expansion approach (the fact that the probability distribution is Gaussian at first order). We analyze the scaling of the error with a large parameter of the system and compare it with van Kampen's method. Our theoretical analysis and the study of several examples shows that the Gaussian approximation turns out to be more accurate. This could be specially important for problems involving stochastic processes in systems with a small number of particles.

Review text

Motivated by van Kampen's expansion approach, the authors propose a method to obtain the first and second moments of a stochastic process described by a master equation, relying on an expansion in a large parameter \(\Omega\) of the system, typically the volume. They consider a Gaussian approximation scheme, considering from the very beginning that the fluctuations are Gaussian. By means of a theoretical analysis and of the numerical study of specific examples they compare how their method performs with respect to van Kampen's expansion to first order, looking in particular at the scaling with \(\Omega\) of the error in mean value, second moment and variance.

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Cited in

(11)

• The Gaussian approximation about an arbitrary finite temperature mean- field
• Gaussian approximations of small noise diffusions in Kullback-Leibler divergence
• A hierarchy of approximations of the master equation scaled by a size parameter
• System-size expansion of the moments of a master equation
• A Linear Programming Approach to Parameter Fitting for the Master Equation
• Analysis of finite-size effect of infinite-range Ising model under Glauber dynamics
• On the asymptotic behavior of solutions to a class of grand canonical master equations
• Cooperative behavior between oscillatory and excitable units: the peculiar role of positive coupling-frequency correlations
• Markovian dynamics on complex reaction networks
• On the assumption of initial factorization in the master equation for weakly coupled systems. II: Solvable models
• Moment expansions in spatial ecological models and moment closure through Gaussian approximation

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