Approximations of Piecewise Deterministic Markov Processes and their convergence properties

Andrea Bertazzi*, Joris Bierkens, Paul Dobson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

Piecewise deterministic Markov processes (PDMPs) are a class of stochastic processes with applications in several fields of applied mathematics spanning from mathematical modelling of physical phenomena to computational methods. A PDMP is specified by three characteristic quantities: the deterministic motion, the law of the random event times, and the jump kernels. The applicability of PDMPs to real world scenarios is currently limited by the fact that these processes can be simulated only when these three characteristics of the process can be simulated exactly. In order to overcome this problem, we introduce discretisation schemes for PDMPs which make their approximate simulation possible. In particular, we design both first order and higher order schemes that rely on approximations of one or more of the three characteristics. For the proposed approximation schemes we study both pathwise convergence to the continuous PDMP as the step size converges to zero and convergence in law to the invariant measure of the PDMP in the long time limit. Moreover, we apply our theoretical results to several PDMPs that arise from the computational statistics and mathematical biology literature.

Original languageEnglish
Pages (from-to)91-153
Number of pages63
JournalStochastic Processes and their Applications
Volume154
Early online date16 Sept 2022
DOIs
Publication statusPublished - 27 Sept 2022

Keywords

  • Coupling
  • Numerical approximation
  • Piecewise Deterministic Markov Processes
  • Weak error

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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