Approximation of General Stochastic Hybrid Systems by Switching Diffusions with Random Hybrid Jumps

Abstract

In this work we propose an approximation scheme to transform a general stochastic hybrid system (SHS) into a SHS without forced transitions due to spatial guards. Such switching mechanisms are replaced by spontaneous transitions with state-dependent transition intensities (jump rates). The resulting switching diffusion process with random hybrid jumps is shown to converge in distribution to the original stochastic hybrid system execution. The obtained approximation can be useful for various purposes such as, on the computational side, simulation and reachability analysis, as well as for the theoretical investigation of the model. More generally, it is suggested that SHS which are endowed exclusively with random jumping events are simpler than those that present spatial forcing transitions.

In the opening of this work, the general SHS model is presented, a few of its basic properties are discussed, and the concept of generator is introduced. The second part of the paper describes the approximation procedure, introduces the new SHS model, and proves, under some assumptions, its weak convergence to the original system.