In this paper, we propose an approximation for such Markov chains via reflected diffusion processes that respects the fact that concentrations of chemical species are never negative. We call this a constrained Langevin approximation because it behaves like the Langevin approximation in the interior of the positive orthant, to which it is constrained by instantaneous reflection at the boundary of the orthant. An additional advantage of our approximation is that it can be written down immediately from the chemical reactions. This contrasts with the linear noise approximation, which involves a two-stage procedure - first solve a deterministic reaction rate ordinary differential equation, followed by a stochastic differential equation for fluctuations around those solutions. Our approximation also captures the interaction of non-linearities in the reaction rate function with the driving noise. In simulations, we have found the computation time for our approximation to be at least comparable to, and often better than, that for the linear noise approximation.
Under mild assumptions, we first prove that our proposed approximation is well defined for all time. Then we prove that it can be obtained as the weak limit of a sequence of jump-diffusion processes that behave like the Langevin approximation in the interior of the positive orthant and like a rescaled version of the Markov chain on the boundary of the orthant. For this limit theorem, we adapt an invariance principle for reflected diffusions, due to Kang and Williams, and modify a result on pathwise uniqueness for reflected diffusions, due to Dupuis and Ishii. Some numerical examples illustrate the advantages of our approximation over direct simulation of the Markov chain or use of the linear noise approximation.
To appear in Annals of Applied Probability.
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