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Abstract:

Quasi-stationary distributions QSD have been widely studied since the pioneering work of Kolmogorov (1938), Yaglom (1947) and Sevastyanov (1951). They appear as a natural object when considering Markov processes that are certainly absorbed since they are invariant for the evolution of the distribution of the process conditioned on not being absorbed. They hence appropriately describe the state of the process at large times for non absorbed paths. Unlike invariant distributions for Markov processes, QSD are solutions of a non-linear equation and there can be 0, 1 or an infinity of them. Also, they cannot be obtained as Cesàro limits of Markovian dynamics. These facts make the computation of QSDs a nontrivial matter. We review different approximation methods for QSD that are useful for simulation purposes, mainly focused on Fleming-Viot dynamics. We also give some alternative proofs and extensions of known results. © Polymat, Moscow 2013.

Registro:

Documento: Artículo
Título:Simulation of Quasi-stationary distributions on countable spaces
Autor:Groisman, P.; Jonckheere, M.
Filiación:Departamento de Matemática, Fac. Cs. Exactas Y Naturales, Universidad de Buenos Aires, Argentina
IMAS-CONICET, Argentina
Palabras clave:Fleming-Viot processes; Quasi-stationary distributions; Simulation
Año:2013
Volumen:19
Número:3
Página de inicio:521
Página de fin:542
Título revista:Markov Processes and Related Fields
Título revista abreviado:Markov Proces. Related Fields
ISSN:10242953
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10242953_v19_n3_p521_Groisman

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Citas:

---------- APA ----------
Groisman, P. & Jonckheere, M. (2013) . Simulation of Quasi-stationary distributions on countable spaces. Markov Processes and Related Fields, 19(3), 521-542.
Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10242953_v19_n3_p521_Groisman [ ]
---------- CHICAGO ----------
Groisman, P., Jonckheere, M. "Simulation of Quasi-stationary distributions on countable spaces" . Markov Processes and Related Fields 19, no. 3 (2013) : 521-542.
Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10242953_v19_n3_p521_Groisman [ ]
---------- MLA ----------
Groisman, P., Jonckheere, M. "Simulation of Quasi-stationary distributions on countable spaces" . Markov Processes and Related Fields, vol. 19, no. 3, 2013, pp. 521-542.
Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10242953_v19_n3_p521_Groisman [ ]
---------- VANCOUVER ----------
Groisman, P., Jonckheere, M. Simulation of Quasi-stationary distributions on countable spaces. Markov Proces. Related Fields. 2013;19(3):521-542.
Available from: https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_10242953_v19_n3_p521_Groisman [ ]