Fluid Limits of Pure Jump Markov Processes: a Practical Guide

By R. Darling. 2002

50 citations recorded by the source corpus.

A rescaled Markov chain converges uniformly in probability to the solution of an ordinary differential equation, under carefully specified assumptions. The presentation is much simpler than those in the outside literature. The result may be used to build parsimonious models of large random or pseudo-random systems.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/280e94d0e3c3d44cc563dc01e759067745cc13fa