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A method of approximating Markov jump processes

Published online by Cambridge University Press:  01 July 2016

Keith N. Crank and
Prem S. Puri
Keith N. Crank*
Affiliation:
Vanderbilt university
Prem S. Puri*
Affiliation:
Purdue University
*
∗Postal address: Owen Graduate School of Management, Vanderbilt University, Nashville, TN 37203, USA.
∗∗Postal address: Department of Statistics, Purdue University, Mathematical Sciences Building, West Lafayette, IN 47907, USA.
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Abstract

We present a method of approximating Markov jump processes which was used by Fuhrmann [7] in a special case. We generalize the method and prove weak convergence results under mild assumptions. In addition we obtain bounds on the rates of convergence of the probabilities at arbitrary fixed times. The technique is demonstrated using a state-dependent branching process as an example.

Keywords

WEAK CONVERGENCEINTERACTING PROCESSESRATES OF CONVERGENCE

Information

Type
Research Article
Information
Advances in Applied Probability , Volume 20 , Issue 1 , March 1988, pp. 33 - 58
Copyright
Copyright © Applied Probability Trust 1988 

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Footnotes

Research supported in part by a David Ross fellowship from Purdue University.

Research supported in part by the U.S. National Science Foundation grant No. DMS-8504319.

References

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