Recursive computation of invariant distributions of Feller processes
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2019.03.008
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… read more here.
Keywords: distributions feller; computation invariant; feller processes; recursive computation ... See more keywords
A scalable approach to the computation of invariant measures for high-dimensional Markovian systems
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DOI: 10.1038/s41598-018-19863-4
Abstract: The Markovian invariant measure is a central concept in many disciplines. Conventional numerical techniques for data-driven computation of invariant measures rely on estimation and further numerical processing of a transition matrix. Here we show how… read more here.
Keywords: high dimensional; transition; computation; computation invariant ... See more keywords