Yilun Shang. Second order moment approximations for asymptotically density dependent Markov chains


Natural Sciences / Mathematics / Differential equations

Submitted on: Oct 04, 2014, 20:43:24

Description: We consider differential equation approximations for continuous time Markov chains with asymptotically density dependent transition rates. Based on some operator semigroup techniques, we show that the second order moment of the Markov process can be approximated uniformly by the solution of an appropriately chosen mean-field equation. The convergence rate is shown to be given by $O(n^{-1})$ with $n$ being the size of the state space.

The Library of Congress (USA) reference page : http://lccn.loc.gov/cn2013300046.

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second order moment approximations for asymptotically density dependent Markov chains.pdf



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