Error Bounds for the One-Dimensional Constrained Langevin Approximation for Density Dependent Markov Chains.

Resumen:  The stochastic dynamics of chemical reaction networks are often modeled using continuous-time Markov chains. However, except in very special cases, these processes cannot be analysed exactly and their simulation can be computationally intensive. An approach to this problem is to consider a diffusion approximation. The Constrained Langevin Approximation (CLA) is a reflected diffusion approximation for stochastic chemical reaction networks proposed by Leite & Williams. In this work, we extend this approximation to (nearly) density dependent Markov chains, when the diffusion state space is one-dimensional. Then, we provide a bound for the error of the CLA in a strong approximation. Finally, we discuss some applications for chemical reaction networks and epidemic models, illustrating these with examples. Joint work with Ruth Williams.

Posted on Nov 15, 2021 in Seminario de Probabilidades de Chile, Seminars