Fluid Limits of Pure Jump Markov Processes: a Practical Guide

2002/10/08 by R. W. R. Darling, Darling, R. W. R.
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #05C80 #60F17 #60J75 #Combinatorics (math.CO) #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Simulation Techniques and Applications #Stochastic processes and financial applications #math.CO #math.PR #msc:05C80 #msc:60F17 #msc:60J75

paper · pdf · doi:10.48550/arxiv.math/0210109

16 pages, 1 figure

openalex publication_date 2002/10/08 · arxiv created 2002/12/23 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

Citations

• Foundations of Modern Probability

Cited by

• Homogenization of Multi-agent Learning Dynamics in Finite-state Markov Games

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