Stochastic approximation of quasi-stationary distributions on compact spaces and applications

Autor: Bertrand Cloez, Michel Benaïm, Fabien Panloup

Publikováno v: Annals of Applied Probability
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2018, 28 (4), pp.2370-2416
Ann. Appl. Probab. 28, no. 4 (2018), 2370-2416
Annals of Applied Probability, Institute of Mathematical Statistics (IMS), 2018, 28 (4), pp.2370-2416. ⟨10.1214/17-AAP1360⟩

International audience; In the continuity of a recent paper ([6]), dealing with finite Markov chains, this paper proposes and analyzes a recursive algorithm for the approximation of the quasi-stationary distribution of a general Markov chain living o

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https://hal.archives-ouvertes.fr/hal-01334603v3/document