Strong approximation of density dependent Markov chains on bounded domains
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Publication:6285898
arXiv1704.07481MaRDI QIDQ6285898FDOQ6285898
Authors: Enrico Bibbona, Roberta Sirovich 
Publication date: 24 April 2017
Abstract: Density dependent families of Markov chains, such as the stochastic models of mass-action chemical kinetics, converge for large values of the indexing parameter to deterministic systems of differential equations (Kurtz, 1970). Moreover for moderate they can be strongly approximated by paths of a diffusion process (Kurtz, 1976). Such an approximation however fails if the state space is bounded (at zero or at a constant maximum level due to conservation of mass) and if the process visits the boundaries with non negligible probability. We present a strong approximation by a jump-diffusion process which is robust to this event. The result is illustrated with a particularly hard case study.
Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Systems biology, networks (92C42) Strong limit theorems (60F15)
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