A central limit and Berry-Esseen theorem for continuous-time Markov processes conditioned not to be absorbed

2022/03/06 by William Oçafrain, Oçafrain, William
Mathematics · Computer Science · #Markov Chains and Monte Carlo Methods #Bayesian Methods and Mixture Models #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2203.03231

Abstract

This paper aims to establish a central limit theorem for Markov processes\nconditioned not to be absorbed under a very general assumption on\nquasi-stationarity for the underlying process. To do so, a central limit\ntheorem has been established for ergodic Markov processes. The conditional\ncentral limit theorem is then obtained by applying the central limit theorem to\nthe Q-process.\n

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