Piecewise-deterministic Markov process

In probability theory, a piecewise-deterministic Markov process (PDMP) is a process whose behaviour is governed by random jumps at points in time, but whose evolution is deterministically governed by an ordinary differential equation between those times. The class of models is "wide enough to include as special cases virtually all the non-diffusion models of applied probability." The process is defined by three quantities: the flow, the jump rate, and the transition measure.

The model was first introduced in a paper by Mark H. A. Davis in 1984.

Examples

Piecewise linear models such as Markov chains, continuous-time Markov chains, the M/G/1 queue, the GI/G/1 queue and the fluid queue can be encapsulated as PDMPs with simple differential equations.

Applications

PDMPs have been shown useful in ruin theory, queueing theory, for modelling biochemical processes such as subtilin production by the organism B. subtilis and DNA replication in eukaryotes for modelling earthquakes. Moreover, this class of processes has been shown to be appropriate for biophysical neuron models with stochastic ion channels.

Properties

Löpker and Palmowski have shown conditions under which a time reversed PDMP is a PDMP. General conditions are known for PDMPs to be stable.