Recursive computation of invariant distributions of Feller processes

DOI10.1016/J.SPA.2019.03.008zbMATH Open1443.60075OpenAlexW2931047629WikidataQ128133888 ScholiaQ128133888MaRDI QIDQ2289787FDOQ2289787

Clément Rey, Gilles Pagès

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2019.03.008

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zbMATH Keywords

Markov processstochastic approximationergodic theoryinvariant measurelimit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (5)

• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• RECURSIVE COMPUTATION OF THE INVARIANT DISTRIBUTION OF A DIFFUSION: THE CASE OF A WEAKLY MEAN REVERTING DRIFT
• Discretization of the ergodic functional central limit theorem
• Feller property and infinitesimal generator of the exploration process
• Approximation of the invariant distribution for a class of ergodic SDEs with one-sided Lipschitz continuous drift coefficient using an explicit tamed Euler scheme

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