Blanchet, J. H., Glynn, P., & Zheng, S. (2015). Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains. ArXiv. /abs/1502.06451

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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.

Authors
Jose H Blanchet, Peter Glynn, Shuheng Zheng
Publication date
2015/2/23
Journal
arXiv preprint arXiv:1502.06451