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Stochastic approximation of quasi-stationary distributions on compact spaces and applications. (English) Zbl 06974754
Summary: 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 position randomly chosen according to the (possibly weighted) empirical occupation measure of its past positions. General conditions are given ensuring the convergence of this measure to the quasi-stationary distribution of the chain. We then apply this method to the numerical approximation of the quasi-stationary distribution of a diffusion process killed on the boundary of a compact set. Finally, the sharpness of the assumptions is illustrated through the study of the algorithm in a nonirreducible setting.

65C20 Probabilistic models, generic numerical methods in probability and statistics
60B12 Limit theorems for vector-valued random variables (infinite-dimensional case)
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
34F05 Ordinary differential equations and systems with randomness
60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
60J60 Diffusion processes
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