High order steady-state diffusion approximations

arXiv2012.02824MaRDI QIDQ6355337FDOQ6355337

Authors: Anton Braverman, J. G. Dai, Xiao Fang 

Publication date: 4 December 2020

Abstract: We derive and analyze new diffusion approximations of stationary distributions of Markov chains that are based on second- and higher-order terms in the expansion of the Markov chain generator. Our approximations achieve a higher degree of accuracy compared to diffusion approximations widely used for the past fifty years, while retaining a similar computational complexity. To support our approximations, we present a combination of theoretical and numerical results across three different models. Our approximations are derived recursively through Stein/Poisson equations, and the theoretical results are proved using Stein's method.

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