Stochastic approximation of quasi-stationary distributions for diffusion processes in a bounded domain

DOI10.1214/20-AIHP1093zbMath1472.60136arXiv1904.08620MaRDI QIDQ2041816

Michel Benaïm, Nicolas Champagnat, Denis Villemonais

Publication date: 23 July 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.08620

zbMATH Keywords

stochastic approximationquasi-stationary distributionspseudo-asymptotic trajectoriesrandom processes with reinforcement

Mathematics Subject Classification ID

Diffusion processes (60J60) Convergence of probability measures (60B10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Limit theorems in probability theory (60F99)

Related Items (5)

Stochastic approximation of the paths of killed Markov processes conditioned on survival ⋮ Data-driven computational methods for quasi-stationary distribution and sensitivity analysis ⋮ Quasistationary distributions and ergodic control problems ⋮ Convergence of a particle approximation for the quasi-stationary distribution of a diffusion process: Uniform estimates in a compact soft case ⋮ Approximating quasi-stationary distributions with interacting reinforced random walks

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