Stachurski, JohnMartin, Vance L2015-12-080012-9682http://hdl.handle.net/1885/29229We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n-1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.Keywords: Ergodicity; Markov processes; Numerical methods; Simulation200810.1111/j.0012-9682.2008.00839.x2015-12-08