Rate of strong convergence to Markov-modulated Brownian motion

DOI10.1017/JPR.2021.30MaRDI QIDQ5067208zbMATH OpenOpenAlexFDO

Authors Giang T. Nguyen, Oscar Peralta

Publication date 1 April 2022

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.11075

zbMATH Keywords

first passage probabilityMarkov-modulated Brownian motionstochastic fluid modelstrong convergence

Mathematics Subject Classification ID

Strong limit theorems (60F15) Continuous-time Markov processes on discrete state spaces (60J27) Brownian motion (60J65)

Abstract: In Latouche and Nguyen (2015), the authors constructed a sequence of stochastic fluid processes and showed that it converges weakly to a Markov-modulated Brownian motion (MMBM). Here, we construct a different sequence of stochastic fluid processes and show that it converges strongly to an MMBM. To the best of our knowledge, this is the first result on strong convergence to a Markov-modulated Brownian motion. We also prove that the rate of this almost sure convergence is $o(n^{-1/2}logn)$. When reduced to the special case of standard Brownian motion, our convergence rate is an improvement over that obtained by a different approximation in cite{gorostiza1980rate}, which is $o(n^{-1/2}(logn{)}^{5/2})$.

Recommendations

• Convergence rates in strong ergodicity for Markov processes
• scientific article; zbMATH DE number 7377823
• scientific article; zbMATH DE number 563025
• scientific article; zbMATH DE number 5629892
• Publication:4895978
• Rates of convergence for increments of Brownian motion
• Rate of convergence in limit theorems for Brownian excursions
• The rate of quasi sure convergence for modulus of continuity of a Brownian motion in Hölder norm
• Rate of convergence in the strong law of large numbers for martingales

Cites work

• A fluid introduction to Brownian motion and stochastic integration
• A stochastic model related to the telegrapher's equation
• ALGORITHMS FOR RETURN PROBABILITIES FOR STOCHASTIC FLUID FLOWS
• Almost Sure Convergence of Uniform Transport Processes to Brownian Motion
• Approximation of Uniform Transport Process on a Finite Interval to Brownian Motion
• Differential equations with a small parameter and the central limit theorem for functions defined on a finite Markov chain
• Fluid approach to two-sided reflected Markov-modulated Brownian motion
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• Markov-modulated Brownian motion with temporary change of regime at level zero
• Matrix-Exponential Distributions in Applied Probability
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
• Rate of convergence of an approximate solution of stochastic differential equations
• Rate of convergence of uniform transport processes to brownian motion and application to stochastic integrals
• Relationships Between Central Moments and Cumulants, with Formulae for the Central Moments of Gamma Distributions
• Slowing time: Markov-modulated Brownian motions with a sticky boundary
• Stationary distributions for fluid flow models with or without brownian noise
• Strong approximation of diffusion processes by transport processes
• The morphing of fluid queues into Markov-modulated Brownian motion
• Time-dependent and stationary analyses of two-sided reflected Markov-modulated Brownian motion with bilateral ph-type jumps

Cited in

(5)

• Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions
• scientific article; zbMATH DE number 563025 (Why is no real title available?)
• Strong convergence to two-dimensional alternating Brownian motion processes
• Finding an NARE whose minimal nonnegative solution represents first-passage increments in two-dimensional Markov modulated Brownian motion
• Space-grid approximations of hybrid stochastic differential equations and first-passage properties

This page was built for publication: Rate of strong convergence to Markov-modulated Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5067208)