Mean-field approximation of counting processes from a differential equation perspective
Deterministic limit of a class of continuous time Markov chains is considered based purely on differential equation techniques. Starting from the linear system of master equations, ordinary differential equations for the moments and a partial differential equation, called Fokker–Planck equation, for...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
University of Szeged
2016-09-01
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Series: | Electronic Journal of Qualitative Theory of Differential Equations |
Subjects: | |
Online Access: | http://www.math.u-szeged.hu/ejqtde/periodica.html?periodica=1¶mtipus_ertek=publication¶m_ertek=5293 |
Summary: | Deterministic limit of a class of continuous time Markov chains is considered based purely on differential equation techniques. Starting from the linear system of master equations, ordinary differential equations for the moments and a partial differential equation, called Fokker–Planck equation, for the distribution is derived. Introducing closures at the level of the second and third moments, mean-field approximations are introduced. The accuracy of the mean-field approximations and the Fokker–Planck equation is investigated by using two differential equation-based and an operator semigroup-based approach. |
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ISSN: | 1417-3875 1417-3875 |