Spectral theory and limit theorems for geometrically ergodic Markov processes (Q1872341): Difference between revisions

Let \((\Phi_t)_{t\geq 0}\) be a time-homogeneous, gometrically ergodic Markov process in continuous or discrete time with a state space \(X\), and let \(F:X\to \mathbb{R}\) be a bounded measurable function. The authors investigate the long-time behavior of \(S_t:= \int^t_0 F(\Phi_s)ds\) in the continuous case and \(S_n:= \sum^n_{i=0} F(\Phi_i)\) in the discrete case. In particular, the solutions of a so-called multiplicative Poisson equation associated with the transition semigroup of \((\Phi_t)_{t\geq 0}\) are studied, and a multiplicative mean ergodic theorem is derived. Moreover, Edgeworth expansions with the leading term of order \(O(t^{-1/2})\) and large deviation results in a neighborhood of the mean (with exact asymptotic results) are given for \(S_t\).