相关论文: An approximation scheme for quasi-stationary distr…

We study a random process with reinforcement, which evolves following the dynamics of a given diffusion process in a bounded domain and is resampled according to its occupation measure when it reaches the boundary. We show that its…

This paper gives foundational results for the application of quasi-stationarity to Monte Carlo inference problems. We prove natural sufficient conditions for the quasi-limiting distribution of a killed diffusion to coincide with a target…

In stochastic processes with absorbing states, the quasi-stationary distribution provides valuable insights into the long-term behaviour prior to absorption. In this work, we revisit two well-established numerical methods for its…

In the continuity of a recent paper ([6]), dealing with finite Markov chains, this paper proposes and analyzes a recursive algorithm for the approximation of the quasi-stationary distribution of a general Markov chain living on a compact…

This work is concerned with the analysis of a stochastic approximation algorithm for the simulation of quasi-stationary distributions on finite state spaces. This is a generalization of a method introduced by Aldous, Flannery and Palacios.…

This article studies the quasi-stationary behaviour of absorbed one-dimensional diffusion processes with killing on $[0,\infty)$. We obtain criteria for the exponential convergence to a unique quasi-stationary distribution in total…

We review a recently devised Monte Carlo simulation method for the direct study of quasi-stationary properties of stochastic processes with an absorbing state. The method is used to determine the static correlation function and the…

We build and study a recursive algorithm based on the occupation measure of an Euler scheme with decreasing step for the numerical approximation of the quasistationary distribution (QSD) of an elliptic diffusion in a bounded domain. We…

This article studies the quasi-stationary behaviour of multidimensional birth and death processes, modeling the interaction between several species, absorbed when one of the coordinates hits 0. We study models where the absorption rate is…

In this paper, we analyse a method for approximating the distribution function and density of a random variable that depends in a non-trivial way on a possibly high number of independent random variables, each with support on the whole real…

We present a new probabilistic analysis of distributed algorithms. Our approach relies on the theory of quasi-stationary distributions (QSD) recently developped by Champagnat and Villemonais. We give properties on the deadlock time and the…

We propose a novel estimation framework for path-dependent functionals of Levy processes from discretely observed data. Traditional approaches rely on Monte Carlo simulation of full paths, which requires complete model specification and…

In this paper, we study quasi-stationary distributions of nonlinearly perturbed semi-Markov processes in discrete time. This type of distributions is of interest for the analysis of stochastic systems which have finite lifetimes, but are…

We study the long-time behavior of stochastic models with an absorbing state, conditioned on survival. For a large class of processes, in which saturation prevents unlimited growth, statistical properties of the surviving sample attain…

This paper introduces a class of Monte Carlo algorithms which are based upon the simulation of a Markov process whose quasi-stationary distribution coincides with a distribution of interest. This differs fundamentally from, say, current…

We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed It\^{o} semimartingale on a fixed interval when the mesh of the…

In this paper we investigate quasi-stationary distributions {\mu}_N of stochastic approximation algorithms with constant step size which can be viewed as random perturbations of a time-continuous dynamical system. Inspired by ecological…

This paper introduces a quasi-Bayesian method that integrates frequentist nonparametric estimation with Bayesian inference in a two-stage process. Applied to an endogenous discrete choice model, the approach first uses kernel or sieve…

This paper studies the quasi-stationary distributions for a single death process (or downwardly skip-free process) with killing defined on the non-negative integers, corresponding to a non-conservative transition rate matrix. The set…

Approximate Bayesian computation allows for statistical analysis in models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on…