Stochastic Approximation of the Paths of Killed Markov Processes Conditioned on Survival
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Publication:6384909
DOI10.1214/22-ECP475arXiv2112.02941MaRDI QIDQ6384909
Publication date: 6 December 2021
Abstract: Reinforced processes are known to provide a stochastic representation for the quasi-stationary distribution of a given killed Markov process - describing the killed Markov process at fixed time instants. In this paper we shall adapt the construction to provide a pathwise description. We also obtain a stochastic approximation for the quasi-limiting distributions of reducible killed Markov processes as a corollary.
Applications of branching processes (60J85) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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