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1 results

  • A method of approximating Markov jump processes

  • Keith N. Crank, Prem S. Puri
  • Journal:
    Advances in Applied Probability / Volume 20 / Issue 1 / March 1988
    Published online by Cambridge University Press:
    01 July 2016, pp. 33-58
    Print publication:
    March 1988

  • We present a method of approximating Markov jump processes which was used by Fuhrmann [7] in a special case. We generalize the method and prove weak convergence results under mild assumptions. In addition we obtain bounds on the rates of convergence of the probabilities at arbitrary fixed times. The technique is demonstrated using a state-dependent branching process as an example.