Publication | Open Access
Fluid Limits of Pure Jump Markov Processes: a Practical Guide
38
Citations
3
References
2002
Year
Fluid LimitsStochastic Hybrid SystemEngineeringLarge RandomStochastic ProcessesPseudo-random SystemsMarkov KernelStochastic Dynamical SystemInteracting Particle SystemSystems EngineeringStochastic SystemLevy ProcessProbability TheoryFluid QueueStochastic Differential Equation
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.
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