Poisson concentration proof of a density-dependent fluid limit
ID: poisson-concentration-proof-of-a-density-dependent-fluid-limit
If the rate functions are bounded and Lipschitz on an invariant compact state space, the Poisson time-change representation of a Markov chain has drift . Each centered Poisson term is uniformly small after division by . The Gronwall inequality then bounds the distance to by the initial error and the centered counting error, multiplied by . A Poisson maximal concentration bound gives exponentially decreasing error probabilities for a fixed horizon and fixed error tolerance.
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