Printable PDF
Department of Mathematics,
University of California San Diego

****************************

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

****************************