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Abstract This paper provides a general and abstract approach to compute invariant distributions for Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton and Pages (2002)… Click to show full abstract
Abstract This paper provides a general and abstract approach to compute invariant distributions for Feller processes. More precisely, we show that the recursive algorithm presented in Lamberton and Pages (2002) and based on simulation algorithms of stochastic schemes with decreasing steps can be used to build invariant measures for general Feller processes. We also propose various applications: Approximation of Markov Brownian diffusion stationary regimes with a Milstein or an Euler scheme and approximation of a Markov switching Brownian diffusion stationary regimes using an Euler scheme.
Journal Title: Stochastic Processes and their Applications
Year Published: 2020
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