Recursive computation of invariant distributions of Feller processes

Gilles Pagès and Clément Rey

Stochastic Processes and their Applications, 2020, vol. 130, issue 1, 328-365

Abstract: This paper provides a general and abstract approach to compute invariant distributions for Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton and Pagès (2002) and based on simulation algorithms of stochastic schemes with decreasing steps can be used to build invariant measures for general Feller processes. We also propose various applications: Approximation of Markov Brownian diffusion stationary regimes with a Milstein or an Euler scheme and approximation of a Markov switching Brownian diffusion stationary regimes using an Euler scheme.

Keywords: Ergodic theory; Markov process; Invariant measure; Limit theorem; Stochastic approximation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2019.03.008

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