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The Annals of applied probability, 2011-12, Vol.21 (6), p.2226-2262
Ort / Verlag
Hayward: Institute of Mathematical Statistics
Erscheinungsjahr
2011
Link zum Volltext
Quelle
Project Euclid_欧几里德项目期刊
Beschreibungen/Notizen
We perform an error analysis for numerical approximation methods of continuous time Markov chain models commonly found in the chemistry and biochemistry literature. The motivation for the analysis is to be able to compare the accuracy of different approximation methods and, specifically, Euler tau-leaping and midpoint tau-leaping. We perform our analysis under a scaling in which the size of the time discretization is inversely proportional to some (bounded) power of the norm of the state of the system. We argue that this is a more appropriate scaling than that found in previous error analyses in which the size of the time discretization goes to zero independent of the rest of the model. Under the present scaling, we show that midpoint tau-leaping achieves a higher order of accuracy, in both a weak and a strong sense, than Euler tau-leaping; a result that is in contrast to previous analyses. We present examples that demonstrate our findings.