This repository has been archived by the owner on Sep 21, 2021. It is now read-only.
WIP: CTMC and Covid #869
Open
WIP: CTMC and Covid #869
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to subscribe to this conversation on GitHub.
Already have an account?
Sign in.
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
@jstac @ChrisRackauckas @thomassargent30
This is a placeholder for the last of the 3 lectures we discussed. Here we can develop the theory around continuous-time markov chains, and explain where the ODE approximation of aggregate dynamics comes from. In addition, there are tools economists are not aware of (e.g. the gillepsie stuff)which provides a brownian motion approximation for the dynamics with granularity. Chris, you had a great outline for a lot of the development of the theory of these approximations
While I am not sure I am convinced that this is the source of volatlity in the covid data (since the volatility doesn't disappear when you go to larger countries with less granularity issues) it is still a great example to go through.
@jstac You had some thoughts on what we could do here. I moved the old text we had from the https://julia.quantecon.org/tools_and_techniques/numerical_linear_algebra.html#Continuous-Time-Markov-Chains-%28CTMCs%29 lecture into this new one, so we can use some of that as a base (or throw it out).