Spectral theory and limit theorems for geometrically ergodic Markov processes

DOI10.1214/AOAP/1042765670zbMath1016.60066arXivmath/0209200OpenAlexW1980019479MaRDI QIDQ1872341

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0209200

zbMATH Keywords

large deviations Edgeworth expansions Poisson equation time-homogeneous Markov processes mean ergodic theorems

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Discrete-time Markov processes on general state spaces (60J05) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Large deviations (60F10)

Related Items (96)

Exponential growth of branching processes in a general context of lifetimes and birthtimes dependence ⋮ Multiplicative ergodicity of Laplace transforms for additive functional of Markov chains ⋮ Approximating a diffusion by a finite-state hidden Markov model ⋮ Long run risk sensitive portfolio with general factors ⋮ Random recurrence equations and ruin in a Markov-dependent stochastic economic environment ⋮ Local large deviations principle for occupation measures of the stochastic damped nonlinear wave equation ⋮ Graph-combinatorial approach for large deviations of Markov chains ⋮ Information geometry approach to parameter estimation in Markov chains ⋮ Affine Point Processes: Approximation and Efficient Simulation ⋮ Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes ⋮ Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space ⋮ Large deviations for the empirical mean of an M/M/\(1\) queue ⋮ Oja's algorithm for graph clustering, Markov spectral decomposition, and risk sensitive control ⋮ Risk sensitive control of pure jump processes on a general state space ⋮ Spectral Analysis of Markov Kernels and Application to the Convergence Rate Of Discrete Random Walks ⋮ Discounted approximations to the risk-sensitive average cost in finite Markov chains ⋮ \(V\)-geometrical ergodicity of Markov kernels via finite-rank approximations ⋮ Geometric ergodicity in a weighted Sobolev space ⋮ Geometric ergodicity and the spectral gap of non-reversible Markov chains ⋮ On long-term arbitrage opportunities in Markovian models of financial markets ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ Discounted approximations in risk-sensitive average Markov cost chains with finite state space ⋮ Orlicz Integrability of Additive Functionals of Harris Ergodic Markov Chains ⋮ Spectral gaps and error estimates for infinite-dimensional Metropolis-Hastings with non-Gaussian priors ⋮ A large deviation principle for the empirical measures of Metropolis-Hastings chains ⋮ Recent advances in the long-time analysis of killed degenerate processes and their particle approximation ⋮ Moderate deviations for lattice gases with mixing conditions ⋮ Sample-path large deviations for a class of heavy-tailed Markov-additive processes ⋮ A non‐conservative Harris ergodic theorem ⋮ Edgeworth expansions for volatility models ⋮ Markov decision processes under risk sensitivity: a discount vanishing approach ⋮ Rejoinder: ``Gibbs sampling, exponential families and orthogonal polynomials ⋮ Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications ⋮ On the stability of positive semigroups ⋮ Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae ⋮ Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion ⋮ Ordinary Differential Equation Methods for Markov Decision Processes and Application to Kullback--Leibler Control Cost ⋮ Exponential quasi-ergodicity for processes with discontinuous trajectories ⋮ Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller ⋮ A Berry-Esseen bound with (almost) sharp dependence conditions ⋮ Approximating Markov chains and \(V\)-geometric ergodicity via weak perturbation theory ⋮ Zero-sum risk-sensitive stochastic games on a countable state space ⋮ The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion ⋮ Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes ⋮ The ODE method for some self-interacting diffusions on \(\mathbb R^d\) ⋮ Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮ Phase transitions and metastability in Markovian and molecular systems ⋮ Large deviations in non-uniformly hyperbolic dynamical systems ⋮ Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process ⋮ Convergence results on multitype, multivariate branching random walks ⋮ Strict monotonicity of principal eigenvalues of elliptic operators in \(\mathbb R^d\) and risk-sensitive control ⋮ Convergence of value functions for finite horizon Markov decision processes with constraints ⋮ Moderate deviation principles for unbounded additive functionals of distribution dependent SDEs ⋮ Higher order asymptotics for large deviations — Part II ⋮ Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions ⋮ The jump start power method: a new approach for computing the ergodic projector of a finite Markov chain ⋮ Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times ⋮ Perturbation analysis for denumerable Markov chains with application to queueing models ⋮ Large deviations of kernel density estimator in \(L^1(\mathbb R^d)\) for uniformly ergodic Markov processes ⋮ \(V\)-uniform ergodicity for state-dependent single class queueing networks ⋮ Large deviation asymptotics and control variates for simulating large functions ⋮ Worst-case large-deviation asymptotics with application to queueing and information theory ⋮ Exponential concentration inequalities for additive functionals of Markov chains ⋮ The Nagaev-Guivarc’h method via the Keller-Liverani theorem ⋮ Quasi-stationary distributions as centrality measures for the giant strongly connected component of a reducible graph ⋮ Markov chains in random environment with applications in queuing theory and machine learning ⋮ Asymptotic and non-asymptotic analysis for a hidden Markovian process with a quantum hidden system ⋮ Local Poisson equations associated with the Varadhan functional ⋮ Rate of convergence in the central limit theorem for strongly ergodic Markov chains ⋮ A glimpse of the conformal structure of random planar maps ⋮ Large deviations in operator form ⋮ Recurrence of multidimensional persistent random walks. Fourier and series criteria ⋮ The Markov chain Monte Carlo revolution ⋮ Risk-sensitive control of continuous time Markov chains ⋮ Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion ⋮ Infinite horizon stopping problems with (nearly) total reward criteria ⋮ Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space ⋮ Infinite server queues in a random fast oscillatory environment ⋮ Large deviations and full Edgeworth expansions for finite Markov chains with applications to the analysis of genomic sequences ⋮ Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains ⋮ Probabilistic Bisection Converges Almost as Quickly as Stochastic Approximation ⋮ Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes ⋮ More on the long time stability of Feynman-Kac semigroups ⋮ A. de Moivre theorem revisited ⋮ Information geometry approach to parameter estimation in hidden Markov model ⋮ Unnamed Item ⋮ Analysis of non-reversible Markov chains via similarity orbits ⋮ Higher order asymptotics for large deviations – Part I ⋮ A probabilistic view on the long-time behaviour of growth-fragmentation semigroups with bounded fragmentation rates ⋮ Runs in superpositions of renewal processes with applications to discrimination ⋮ Fundamental design principles for reinforcement learning algorithms ⋮ Exponential Growth of Bifurcating Processes with Ancestral Dependence ⋮ Ergodic risk-sensitive control of Markov processes on countable state space revisited ⋮ Large Deviations for Additive Functionals of Reflected Jump-Diffusions ⋮ Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC ⋮ Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets

Cites Work

This page was built for publication: Spectral theory and limit theorems for geometrically ergodic Markov processes