Diffusion Approximation for Symmetric Birth-and-Death Processes with Polynomial Rates

Diffusion Approximation for Symmetric Birth-and-Death Processes with Polynomial Rates Full article

Journal

Markov Processes and Related Fields
ISSN: 1024-2953

Output data

Year: 2023, Volume: 29, Number: 4, Pages: 605-618 Pages count : 14 DOI: 10.61102/1024-2953-mprf.2023.29.4.007

Tags

birth-death processes, stochastic differential equations, diffusion approximation

Authors

Logachov A ¹ , Logachova O. ² , Pechersky E. ³ , Presman E. ⁴ , Yambartsev A. ⁵

Affiliations

1	Sobolev Institute of Mathematics, Siberian Branch of the RAS
2	Siberian State University of Geosystems and Technologies
3	Institute for Information Transmission Problems of Russian Academy of Sciences
4	Central Economics and Mathematics Institute of Russian Academy of Sciences
5	Institute of Mathematics and Statistics, University of Sao Paulo

Funding (1)

Sobolev Institute of Mathematics

FWNF-2022-0010

The symmetric birth and death stochastic process on the non-negative integers x Z+ with polynomial rates x [12] x= 0, is studied. The process moves slowly and spends more time in the neighborhood of the state 0. We prove the convergence of the scaled process to a solution of stochastic di erential equation without drift. Sticking phenomenon appears at the limiting process: trajectories, starting from any state, take nite time to reach 0 and remain there inde nitely

Logachov A. , Logachova O. , Pechersky E. , Presman E. , Yambartsev A.
Diffusion Approximation for Symmetric Birth-and-Death Processes with Polynomial Rates
Markov Processes and Related Fields. 2023. V.29. N4. P.605-618. DOI: 10.61102/1024-2953-mprf.2023.29.4.007 WOS Scopus РИНЦ OpenAlex

Submitted:	Oct 29, 2023
Accepted:	Dec 5, 2023
Published print:	Jan 21, 2024
Published online:	Jan 21, 2024

Web of science:	WOS:001162003800005
Scopus:	2-s2.0-85200764957
Elibrary:	65777682
OpenAlex:	W4390539140

Пока нет цитирований