Abstract
We analyze the Gaussian approximation as a method to obtain the first and second moments of a stochastic process described by a master equation. We justify the use of this approximation with ideas coming from van Kampen’s expansion approach (the fact that the probability distribution is Gaussian at first order). We analyze the scaling of the error with a large parameter of the system and compare it with van Kampen’s method. Our theoretical analysis and the study of several examples shows that the Gaussian approximation turns out to be more accurate than van Kampen’s expansion at first order. This could be specially important for problems involving stochastic processes in systems with a small number of particles.
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Lafuerza, L.F., Toral, R. On the Gaussian Approximation for Master Equations. J Stat Phys 140, 917–933 (2010). https://doi.org/10.1007/s10955-010-0024-7
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DOI: https://doi.org/10.1007/s10955-010-0024-7