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