Strong Gaussian approximation of metastable density-dependent Markov chains on large time scales

DOI10.1016/J.SPA.2023.01.018MaRDI QIDQ6044253zbMATH OpenOpenAlexFDO

Authors Adrien Prodhomme

Publication date 17 May 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.06861

zbMATH Keywords

density-dependent Markov chainsGaussian approximationmetastabilitystrong approximation

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Continuous-time Markov processes on discrete state spaces (60J27) Population dynamics (general) (92D25)

Abstract: Density-dependent Markov chains form an important class of continuous-time Markov chains in population dynamics. On any fixed time window [0, T ], when the scale parameter K > 0 is large such chains are well approximated by the solution of an ODE (the fluid limit), with Gaussian fluctuations superimposed upon it. In this paper we quantify the period of time during which this Gaussian approximation remains precise, uniformly on the trajectory, in the case where the fluid limit converges to an exponentially stable equilibrium point. We provide a new coupling between the density-dependent chain and the approximating Gaussian process, based on a construction of Kurtz using the celebrated Koml{'o}s-Major-Tusn{'a}dy theorem for random walks. We show that under mild hypotheses the time T(K) necessary for the strong approximation error to reach a threshold $epsilon$(K)<<1 is at least of order exp(V K $epsilon$(K)), for some constant V > 0. This notably entails that the Gaussian approximation yields the correct asymptotics regarding the time scales of moderate deviations. We also present applications to the Gaussian approximation of the logistic birth-and-death process conditioned to survive, and to the estimation of a quantity modeling the cost of an epidemic.

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Cited in

(8)

• Long-term stability of interacting Hawkes processes on random graphs
• Individual Molecules Dynamics in Reaction Network Models
• Epidemic modelling by birth-death processes with spatial scaling
• Sharp approximation and hitting times for stochastic invasion processes
• Stochastic dynamics of two-compartment cell proliferation models with regulatory mechanisms for hematopoiesis
• Strong propagation of chaos for systems of interacting particles with nearly stable jumps
• Stability of wandering bumps for Hawkes processes interacting on the circle
• Spiking neural models for decision-making tasks with learning

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