Central limit theorems and diffusion approximations for multiscale Markov chain models

Citation
Kang, Hye-won et al., Central limit theorems and diffusion approximations for multiscale Markov chain models, Annals of applied probability , 24(2), 2014, pp. 721-759
ISSN journal
10505164
Volume
24
Issue
2
Year of publication
2014
Pages
721 - 759
Database
ACNP
SICI code
Abstract
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a combination of the two. Motivated by models with multiple time-scales arising in systems biology, we present a general approach to proving a central limit theorem capturing the fluctuations of the original model around the deterministic limit. The central limit theorem provides a method for deriving an appropriate diffusion (Langevin) approximation.