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arXiv · 2112.02941

Stochastic Approximation of the Paths of Killed Markov Processes Conditioned on Survival

Oliver Tough
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Abstract

Reinforced processes are known to provide a stochastic representation for the quasi-stationary distribution of a given killed Markov process - describing the killed Markov process at fixed time instants. In this paper we shall adapt the construction to provide a pathwise description. We also obtain a stochastic approximation for the quasi-limiting distributions of reducible killed Markov processes as a corollary.

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Oliver Tough. 2022-02-09. Stochastic Approximation of the Paths of Killed Markov Processes Conditioned on Survival. https://arxiv.org/abs/2112.02941

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