Boundary behavior of diffusion approximations to Markov jump processes

DOI10.1007/BF01033090zbMath0631.60079MaRDI QIDQ1094766

Charles Tier, Zeev Schuss, Bernard J. Matkowsky, Charles Knessl

Publication date: 1986

Published in: Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

diffusion approximationsingular perturbationsmaster equationlocal boundary conditionsasymptotic expansion of the mean exit timeKramer's diffusion model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic mechanics (including stochastic electrodynamics) (81P20)

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Cites Work

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• Handbook of stochastic methods for physics, chemistry and the natural sciences
• A singular perturbation approach to first passage times for Markov jump processes
• An Asymptotic Theory of Large Deviations for Markov Jump Processes
• Asymptotic Analysis of a State-Dependent $M/G/1$ Queueing System
• On Equations of Brownian Motion
• Expansion of the Master Equation for One-Dimensional Random Walks with Boundary
• Stochastic Problems in Physics and Astronomy
• Brownian motion in a field of force and the diffusion model of chemical reactions

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