Stochastic Approximation of the Paths of Killed Markov Processes Conditioned on Survival
Probability
2022-02-10 v2
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.
Keywords
Cite
@article{arxiv.2112.02941,
title = {Stochastic Approximation of the Paths of Killed Markov Processes Conditioned on Survival},
author = {Oliver Tough},
journal= {arXiv preprint arXiv:2112.02941},
year = {2022}
}
Comments
12 pages, 1 figure