scholarly journals Local stability of Kolmogorov forward equations for finite state nonlinear Markov processes

2015 ◽  
Vol 20 (0) ◽  
Author(s):  
Amarjit Budhiraja ◽  
Paul Dupuis ◽  
Markus Fischer ◽  
Kavita Ramanan
1975 ◽  
Vol 7 (2) ◽  
pp. 349-382 ◽  
Author(s):  
Richard J. Kryscio ◽  
Norman C. Severo

A right-shift process is a Markov process with multidimensional finite state space on which the infinitesimal transition movement is a shifting of one unit from one coordinate to some other to its right. A multidimensional right-shift process consists of v ≧ 1 concurrent and dependent right-shift processes. In this paper applications of multidimensional right-shift processes to some well-known examples from epidemic theory, queueing theory and the Beetle probblem due to Lucien LeCam are discussed. A transformation which orders the Kolmogorov forward equations into a triangular array is provided and some computational procedures for solving the resulting system of equations are presented. One of these procedures is concerned with the problem of evaluating a given transition probability function rather than obtaining the solution to the complete system of forward equations. This particular procedure is applied to the problem of estimating the parameters of a multidimensional right-shift process which is observed at only a finite number of fixed timepoints.


1975 ◽  
Vol 7 (02) ◽  
pp. 349-382 ◽  
Author(s):  
Richard J. Kryscio ◽  
Norman C. Severo

A right-shift process is a Markov process with multidimensional finite state space on which the infinitesimal transition movement is a shifting of one unit from one coordinate to some other to its right. A multidimensional right-shift process consists of v ≧ 1 concurrent and dependent right-shift processes. In this paper applications of multidimensional right-shift processes to some well-known examples from epidemic theory, queueing theory and the Beetle probblem due to Lucien LeCam are discussed. A transformation which orders the Kolmogorov forward equations into a triangular array is provided and some computational procedures for solving the resulting system of equations are presented. One of these procedures is concerned with the problem of evaluating a given transition probability function rather than obtaining the solution to the complete system of forward equations. This particular procedure is applied to the problem of estimating the parameters of a multidimensional right-shift process which is observed at only a finite number of fixed timepoints.


1993 ◽  
Vol 6 (4) ◽  
pp. 385-406 ◽  
Author(s):  
N. U. Ahmed ◽  
Xinhong Ding

We consider a nonlinear (in the sense of McKean) Markov process described by a stochastic differential equations in Rd. We prove the existence and uniqueness of invariant measures of such process.


2021 ◽  
Author(s):  
Christopher N Davis ◽  
Matt J Keeling ◽  
Kat S Rock

Stochastic methods for modelling disease dynamics enables the direct computation of the probability of elimination of transmission (EOT). For the low-prevalence disease of human African trypanosomiasis (gHAT), we develop a new mechanistic model for gHAT infection that determines the full probability distribution of the gHAT infection using Kolmogorov forward equations. The methodology allows the analytical investigation of the probabilities of gHAT elimination in the spatially-connected villages of the Kwamouth and Mosango health zones of the Democratic Republic of Congo, and captures the uncertainty using exact methods. We predict that, if current active and passive screening continue at current levels, local elimination of infection will occur in 2029 for Mosango and after 2040 in Kwamouth, respectively. Our method provides a more realistic approach to scaling the probability of elimination of infection between single villages and much larger regions, and provides results comparable to established models without the requirement of detailed infection structure. The novel flexibility allows the interventions in the model to be implemented specific to each village, and this introduces the framework to consider the possible future strategies of test-and-treat or direct treatment of individuals living in villages where cases have been found, using a new drug.


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