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Department of Mathematics,
Department of Mathematics,
University of California San Diego
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Food For Thought Seminar
Alex Eustis
UCSD
Estimating Markov Chains with Differential Equations
Abstract:
Two types of dynamical system are differential equations and Markov chains, representing continuous deterministic systems and discrete random systems respectively. For a Markov chain in which the jumps are ``small and frequent,'' the individual random jumps can average out to a ``drift'' as in a first-order differential equation. We'll explore a couple of general results of this type and do a couple examples, largely following a paper by Darling and Norris.
November 19, 2009
10:00 AM
AP&M 7321
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