Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications

DOI10.1515/mcma-2018-2027zbMath1428.60053arXiv1712.04044OpenAlexW2962850313WikidataQ128454485 ScholiaQ128454485MaRDI QIDQ2417974

Clément Rey, Gilles Pagès

Publication date: 31 May 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.04044

zbMATH Keywords

stochastic approximationMarkov processesinvariant measureslimit theoremergodic theorycensored jump processesmilstein scheme

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Transition functions, generators and resolvents (60J35) Jump processes on discrete state spaces (60J74)

Related Items (3)

Recursive computation of the invariant distributions of Feller processes: revisited examples and new applications ⋮ Discretization of the ergodic functional central limit theorem ⋮ Recursive computation of invariant distributions of Feller processes

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