The Open Applied Mathematics Journal

2009, 3 : 7-13
Published online 2009 May 08. DOI: 10.2174/1874114200903010007
Publisher ID: TOAMJ-3-7

On the Continuous Diffusion Approximation of Some Discrete Markov Chains

Mario Abundo
Dipartimento di Matematica, Università “Tor Vergata”, via della Ricerca Scientifica, I-00133 Rome, Italy.

ABSTRACT

The diffusion approximation of some Markov chains with Binomial-like transition probabilities is considered and their qualitative behavior is analyzed. The stationary distribution, attainability of boundary and estimation of parameters are investigated. Some examples are reported.

Keywords:

Markov chains, diffusion process, stationary distribution.