Recursive computation of the invariant distribution of Markov and Feller processes

Gilles Pagès (1) , Clément Rey (1)

1 UPMC - Université Pierre et Marie Curie - Paris 6

This paper provides a general and abstract approach to approximate ergodic regimes of Markov and Feller processes. More precisely, we show that the recursive algorithm presented by Lamberton an Pagès in 2002, and based on simulation algorithms of stochastic schemes with decreasing step can be used to build invariant measures for general Markov and Feller processes. We also propose applications in three different configurations: Approximation of Markov switching Brownian diffusion ergodic regimes using Euler scheme, approximation of Markov Brownian diffusion ergodic regimes with Milstein scheme and approximation of general diffusions with jump components ergodic regimes.

Mots clés: Ergodic theory; Markov processes; Invariant measures; Limit theorem; Stochastic approximation

Domaines: Probabilités [math.PR]

Gilles Pagès, Clément Rey. Recursive computation of the invariant distribution of Markov and Feller processes. 2017. ⟨hal-01447257⟩