Computing Invariant Densities of a Class of Piecewise Increasing Mappings

Abstract

Let [Formula: see text] be a piecewise increasing mapping satisfying some generalized convexity condition, so that it possesses an invariant density that is a decreasing function. We show that this invariant density can be computed by a family of Markov finite approximations that preserve the monotonicity of integrable functions. We also construct a quadratic spline Markov method and demonstrate its merits numerically.