Recursive computation of the invariant distribution of Markov and Feller processes

arXiv1703.04557MaRDI QIDQ6284288FDOQ6284288

Authors: Gilles Pagès, Clément Rey 

Publication date: 13 March 2017

Abstract: This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton & Pages (2002) and based on simulation algorithms of stochastic schemes with decreasing step can be used to build invariant measures for general Markov and Feller processes. We also propose applications in three different configurations: Approximation of Markov switching Brownian diffusion ergodic regimes using Euler scheme, approximation of Markov Brownian diffusion ergodic regimes with Milstein scheme and approximation of general diffusions with jump components ergodic regimes.

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