The study of inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial mathematical burden - even in simple settings - which is usually circumvented by using well-known generic distributional approximations or simulations. This article provides a novel approximation method that tailors the dynamics of a homogeneous Markov jump process to meet those of its inhomogeneous counterpart on an increasingly fine Poisson grid - a procedure broadly known as uniformization. Strong convergence of the processes in terms of the Skorokhod $J_1$ topology is established, and convergence rates are provided. Special attention is devoted to the case where the target process has one absorbing state and the remaining ones transient, for which the absorption times also converge. Some applications are outlined, such as ruin probability calculation, univariate hazard-rate density estimation, and multivariate phase-type density evaluation. Finally, extensions to semi-Markovian models are presented.
翻译:对非同质的Markov跳跃过程的研究是概率理论中的传统专题,最近在各种应用中引起大量注意,但是,其灵活性也带来大量的数学负担,即使在简单的情况下,通常也会通过使用众所周知的通用分布近似值或模拟来规避。这一条提供了一种新的近似方法,使同质的Markov跳跃过程的动态适应于其非异性对口的动态,这种动态在日益细微的Poisson网格上——这种程序被广泛称为统一化,在Skorokhod $J_1美元表层学方面,这些过程已建立强有力的趋同,并提供了趋同率。特别注意的目标过程有一个吸收状态和其余的瞬间状态,吸收时间也与之趋同。有些应用被概括,例如废概率计算、单亚危险率密度估计和多变式相密度评价。最后,介绍了半马尔科维纳模式的扩展情况。