Recursive computation of invariant distributions of Feller processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:130

Article

Pages, Gilles¹  Rey, Clement² 

[1] Univ Paris 06, LPMA, 4 Pl Jussieu, F-75005 Paris, France

[2] Ecole Polytech, CMAP, Route Saclay, F-91128 Palaiseau, France

关键词: Ergodic theory;    Markov process;    Invariant measure;    Limit theorem;    Stochastic approximation;   

DOI  :  10.1016/j.spa.2019.03.008

来源: Elsevier

【 摘 要 】

This paper provides a general and abstract approach to compute invariant distributions for Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton and Pages (2002) and based on simulation algorithms of stochastic schemes with decreasing steps can be used to build invariant measures for general Feller processes. We also propose various applications: Approximation of Markov Brownian diffusion stationary regimes with a Milstein or an Euler scheme and approximation of a Markov switching Brownian diffusion stationary regimes using an Euler scheme. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

Free