Stochastic Approximation of Quasi-stationary Distributions on Compact Spaces and Applications

@inproceedings{Benaim2017StochasticAO,
  title={Stochastic Approximation of Quasi-stationary Distributions on Compact Spaces and Applications},
  author={M. Benaim and Bertrand Cloez and Fabien Panloup and A BSTRACT},
  year={2017}
}
As a continuation of a recent paper, 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 on a compact metric space killed in finite time. The idea is to run the process until extinction and then to bring it back to life at a… CONTINUE READING