Continuous-time Markov chains are frequently used to model the stochastic dynamics of (bio)chemical reaction networks. However, except in very special cases, they cannot be analyzed exactly. Additionally, simulation can be computationally intensive. An approach to address these challenges is to consider a more tractable diffusion approximation. Leite and Williams (Ann. Appl. Prob. 29, 2019) proposed a reflected diffusion as an approximation for (bio)chemical reaction networks, which they called the constrained Langevin approximation (CLA) as it extends the usual Langevin approximation beyond the first time some chemical species becomes zero in number. Further explanation and examples of the CLA can be found in Anderson et al. (SIAM Multiscale Modeling Simul. 17, 2019).

In this paper, we extend the approximation of Leite and Williams to (nearly) density-dependent Markov chains, as a first step to obtaining error estimates for the CLA when the diffusion state space is one-dimensional, and we provide a bound for the error in a strong approximation. We discuss some applications for chemical reaction networks and epidemic models, and illustrate these with examples. Our method of proof is designed to generalize to higher dimensions, provided there is a Lipschitz Skorokhod map defining the reflected diffusion process. The existence of such a Lipschitz map is an open problem in dimensions more than one.

We study 2-stage game-theoretic problem oriented 3-stage service policy computing, convolutional neural network (CNN) based algorithm design, and simulation for a blockchained buffering system with federated learning. More precisely, based on the game-theoretic problem consisting of both “win-lose” and “win-win” 2-stage competitions, we derive a 3-stage dynamical service policy via a saddle point to a zero-sum game problem and a Nash equilibrium point to a non-zero-sum game problem. This policy is concerning users-selection, dynamic pricing, and online rate resource allocation via stable digital currency for the system. The main focus is on the design and analysis of the joint 3-stage service policy for given queue/environment state dependent pricing and utility functions. The asymptotic optimality and fairness of this dynamic service policy is justified by diffusion modeling with approximation theory. A general CNN based policy computing algorithm flow chart along the line of the so-called big model framework is presented. Simulation case studies are conducted for the system with three users, where only two of the three users can be selected into the service by a zero-sum dual cost game competition policy at a time point. Then, the selected two users get into service and share the system rate service resource through a non-zero-sum dual cost game competition policy. Applications of our policy in the future blockchain based Internet (e.g., metaverse and web3.0) and supply chain finance are also briefly illustrated.

A diffusion approximation to a risk process under dynamic proportional reinsurance is considered. The goal is to minimise the discounted time in drawdown; that is, the time where the distance of the present surplus to the running maximum is larger than a given level $d > 0$ . We calculate the value function and determine the optimal reinsurance strategy. We conclude that the drawdown measure stabilises process paths but has a drawback as it also prevents surpassing the initial maximum. That is, the insurer is, under the optimal strategy, not interested in any more profits. We therefore suggest using optimisation criteria that do not avoid future profits.

We analyze the discounted probability of exponential Parisian ruin for the so-called scaled classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the comparison method from differential equations to prove that the discounted probability of exponential Parisian ruin for the scaled classical risk model converges to the corresponding discounted probability for its diffusion approximation, and we derive the rate of convergence.

The logistic birth and death process is perhaps the simplest stochastic population model that has both density-dependent reproduction and a phase transition, and a lot can be learned about the process by studying its extinction time, $\tau_n$ , as a function of system size n. A number of existing results describe the scaling of $\tau_n$ as $n\to\infty$ for various choices of reproductive rate $r_n$ and initial population $X_n(0)$ as a function of n. We collect and complete this picture, obtaining a complete classification of all sequences $(r_n)$ and $(X_n(0))$ for which there exist rescaling parameters $(s_n)$ and $(t_n)$ such that $(\tau_n-t_n)/s_n$ converges in distribution as $n\to\infty$ , and identifying the limits in each case.

A general multi-type population model is considered, where individuals live and reproduce according to their age and type, but also under the influence of the size and composition of the entire population. We describe the dynamics of the population as a measure-valued process and obtain its asymptotics as the population grows with the environmental carrying capacity. Thus, a deterministic approximation is given, in the form of a law of large numbers, as well as a central limit theorem. This general framework is then adapted to model sexual reproduction, with a special section on serial monogamic mating systems.

The De Vylder and Goovaerts conjecture is an open problem in risk theory, stating that the finite-time ruin probability in a standard risk model is greater than or equal to the corresponding ruin probability evaluated in an associated model with equalized claim amounts. Equalized means here that the jump sizes of the associated model are equal to the average jump in the initial model between 0 and a terminal time T.In this paper, we consider the diffusion approximations of both the standard risk model and its associated risk model. We prove that the associated model, when conveniently renormalized, converges in distribution to a Gaussian process satisfying a simple SDE. We then compute the probability that this diffusion hits the level 0 before time T and compare it with the same probability for the diffusion approximation for the standard risk model. We conclude that the De Vylder and Goovaerts conjecture holds for the diffusion limits.

In large storage systems, files are often coded across several servers to improve reliability and retrieval speed. We study load balancing under the batch sampling routeing scheme for a network of n servers storing a set of files using the maximum distance separable (MDS) code (cf. Li (2016)). Specifically, each file is stored in equally sized pieces across L servers such that any k pieces can reconstruct the original file. When a request for a file is received, the dispatcher routes the job into the k-shortest queues among the L for which the corresponding server contains a piece of the file being requested. We establish a law of large numbers and a central limit theorem as the system becomes large (i.e. n → ∞), for the setting where all interarrival and service times are exponentially distributed. For the central limit theorem, the limit process take values in ℓ2, the space of square summable sequences. Due to the large size of such systems, a direct analysis of the n-server system is frequently intractable. The law of large numbers and diffusion approximations established in this work provide practical tools with which to perform such analysis. The power-of-d routeing scheme, also known as the supermarket model, is a special case of the model considered here.

An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is investigated, formulated as a constrained utility maximisation problem over a finite time horizon. The arrivals of buy and sell orders are governed by Poisson processes, and a diffusion approximation is employed on assuming the Poisson arrivals intensity is sufficiently large. Using the dynamic programming principle, we adopt an efficient numerical procedure to solve this constrained utility maximisation problem based on a successive approximation algorithm, and conduct numerical experiments to analyse the impacts of the inventory constraint on a dealer's terminal profit and stock inventory level. It is found that the stock inventory constraint significantly affects the terminal stock inventory level.

In this paper we study a reinsurance game between two insurers whose surplus processes are modeled by arithmetic Brownian motions. We assume a minimax criterion in the game. One insurer tries to maximize the probability of absolute dominance while the other tries to minimize it through reinsurance control. Here absolute dominance is defined as the event that liminf of the difference of the surplus levels tends to -∞. Under suitable parameter conditions, the game is solved with the value function and the Nash equilibrium strategy given in explicit form.

In this paper we introduce discrete-time semi-Markov random evolutions (DTSMREs) and study asymptotic properties, namely, averaging, diffusion approximation, and diffusion approximation with equilibrium by the martingale weak convergence method. The controlled DTSMREs are introduced and Hamilton–Jacobi–Bellman equations are derived for them. The applications here concern the additive functionals (AFs), geometric Markov renewal chains (GMRCs), and dynamical systems (DSs) in discrete time. The rates of convergence in the limit theorems for DTSMREs and AFs, GMRCs, and DSs are also presented.

In this paper, a singular semi-linear parabolic PDE with locally periodiccoefficients is homogenized. We substantially weaken previous assumptions onthe coefficients. In particular, we prove new ergodic theorems. We show thatin such a weak setting on the coefficients, the proper statement of thehomogenization property concerns viscosity solutions, though we need abounded Lipschitz terminal condition.

Consider a random walk S=(Sn: n≥0) that is ‘perturbed’ by a stationary sequence (ξn: n≥0) to produce the process S=(Sn+ξn: n≥0). In this paper, we are concerned with developing limit theorems and approximations for the distribution of Mn=max{Sk+ξk: 0≤k≤n} when the random walk has a drift close to 0. Such maxima are of interest in several modeling contexts, including operations management and insurance risk theory. The associated limits combine features of both conventional diffusion approximations for random walks and extreme-value limit theory.

We present a domain decomposition theory on an interface problemfor the linear transport equation between a diffusive and a non-diffusive region.To leading order, i.e. up to an error of the order of the mean free path in thediffusive region, the solution in the non-diffusive region is independent of thedensity in the diffusive region. However, the diffusive and the non-diffusive regionsare coupled at the interface at the next order of approximation. In particular, ouralgorithm avoids iterating the diffusion and transport solutions as is done in mostother methods — see for example Bal–Maday (2002). Our analysis is based instead on an accurate description of the boundarylayer at the interface matching the phase-space density of particles leaving thenon-diffusive region to the bulk density that solves the diffusion equation.

Motivated by edge behaviour reported for biological organisms, we show that random walks with a bias at a boundary lead to a discontinuous probability density across the boundary. We continue by studying more general diffusion processes with such a discontinuity across an interior boundary. We show how hitting probabilities, occupancy times and conditional occupancy times may be solved from problems that are adjoint to the original diffusion problem. We highlight our results with a biologically motivated example, where we analyze the movement behaviour of an individual in a network of habitat patches surrounded by dispersal habitat.

We investigate the diffusion limit for general conservative Boltzmann equations with oscillating coefficients. Oscillations have a frequency of the same order as the inverse of the mean free path, and the coefficients may depend on both slow and fast variables. Passing to the limit, we are led to an effective drift-diffusion equation. We also describe the diffusive behaviour when the equilibrium function has a non-vanishing flux.

This paper provides mathematical analysis of optical tomography in a situation when the examined object, for example the human brain, is strongly scattering with non-scattering inclusions. Light propagation in biological tissue is often modelled by the diffusion approximation of the radiative transfer equation. To be justified, the diffusion approximation demands that the medium is strongly scattering. Naturally, this is not true for non-scattering inclusions, for which some other model is needed. This is found through geometrical optics. Combination of the two models leads to an elliptic partial differential equation with boundary conditions on the outer boundary as well as on the boundaries of the non-scattering regions. The well-posedness of this forward problem is the main concern of this work.

AMS 2000 Mathematics subject classification: Primary 35Q60; 35R30

This paper is concerned with the coupling of two models for the propagation of particles in scattering media. The first model is a linear transport equation of Boltzmann type posed in the phase space (position and velocity). It accurately describes the physics but is very expensive to solve. The second model is a diffusion equation posed in the physical space. It is only valid in areas of high scattering, weak absorption, and smooth physical coefficients, but its numerical solution is much cheaper than that of transport. We are interested in the case when the domain is diffusive everywhere except in some small areas, for instance non-scattering or oscillatory inclusions. We present a natural coupling of the two models that accounts for both the diffusive and non-diffusive regions. The interface separating the models is chosen so that the diffusive regime holds in its vicinity to avoid the calculation of boundary or interface layers. The coupled problem is analyzed theoretically and numerically. To simplify the presentation, the transport equation is written in the even parity form. Applications include, for instance, the treatment of clear or spatially inhomogeneous regions in near-infra-red spectroscopy, which is increasingly being used in medical imaging for monitoring certain properties of human tissues.