Recursive computation of invariant distributions of Feller processes
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DOI: 10.1016/j.spa.2019.03.008
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- Ganidis, H. & Roynette, B. & Simonot, F., 1999. "Convergence rate of some semi-groups to their invariant probability," Stochastic Processes and their Applications, Elsevier, vol. 79(2), pages 243-263, February.
- Lemaire, Vincent, 2007. "An adaptive scheme for the approximation of dissipative systems," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1491-1518, October.
- Gilles Pag`es & Fabien Panloup, 2007. "Approximation of the distribution of a stationary Markov process with application to option pricing," Papers 0704.0335, arXiv.org, revised Sep 2009.
- Mei, Hongwei & Yin, George, 2015. "Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3104-3125.
- Panloup, Fabien, 2008. "Computation of the invariant measure for a Lévy driven SDE: Rate of convergence," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1351-1384, August.
- Basak, Gopal K. & Hu, Inchi & Wei, Ching-Zong, 1997. "Weak convergence of recursions," Stochastic Processes and their Applications, Elsevier, vol. 68(1), pages 65-82, May.
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Cited by:
- Gilles Pagès & Clément Rey, 2023. "Discretization of the Ergodic Functional Central Limit Theorem," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-44, March.
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Keywords
Ergodic theory; Markov process; Invariant measure; Limit theorem; Stochastic approximation;All these keywords.
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