Simulation of Quasi-Stationary Distributions on Countable Spaces

P. Groisman, M. Jonckheere

2013, v.19, №3, 521-542

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 Cesaro 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.

Keywords: quasi-stationary distributions,Fleming - Viot processes,simulation

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