Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains

Jose H. Blanchet; Peter Glynn; Shuheng Zheng

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arXiv · 1502.06451

Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains

Jose H. Blanchet·Peter Glynn·Shuheng Zheng

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Abstract

An algorithm for estimating quasi-stationary distribution of finite state space Markov chains has been proven in a previous paper. Now this paper proves a similar algorithm that works for general state space Markov chains under very general assumptions.

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Jose H. Blanchet, Peter Glynn, Shuheng Zheng. 2015-02-23. Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains. https://arxiv.org/abs/1502.06451

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