Coloured Epidemic Models: Functional Law of Large Numbers and Propagation of Chaos

Abstract

In this paper, we study a stochastic Susceptible-Infected-Removed (SIR) model where the infection and the recovery rates depend on individual covariates for susceptibility and infectiousness of the infector and the infectee. Such models allow explicit nonlinearity in the incidence term. They are also important from a practical perspective, as they allow for the incorporation of individual heterogeneity into the epidemic process. Statistical estimates for crucial epidemiological parameters, such as the basic reproduction number, herd immunity threshold, could be vastly different, and even biased, when the population heterogeneity is ignored in the mathematical model. We describe our epidemic model as an Interacting Particle System (IPS) of Stochastic Differential Equations (SDEs) driven by Poisson Random Measures. Our main mathematical contributions are a Functional Law of Large Numbers (FLLN), which approximates the empirical random measure of the IPS by means of a deterministic measure-valued function, and the propagation of chaos phenomenon, which establishes asymptotic independence of the particles as the population size goes to infinity with an explicit construction of McKean--Vlasov type Kac's ``nonlinear process''. We also briefly mention how the propagation of chaos phenomenon leads to a product-form likelihood function, which forms the basis of the so-called Dynamic Survival Analysis (DSA) method for parameter inference based on sparse data.