Equivalences of Geometric Ergodicity of Markov Chains

DOI10.1007/S10959-023-01240-1MaRDI QIDQ6393175zbMATH OpenOpenAlexFDO

Authors Marco A. Gallegos-Herrada, David Ledvinka, Jeffrey S. Rosenthal

Publication date 8 March 2022

Full work available at URL https://doi.org/10.1007/s10959-023-01240-1

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Discrete-time Markov processes on general state spaces (60J05) Computational methods in Markov chains (60J22)

Abstract: This paper gathers together different conditions which are all equivalent to geometric ergodicity of time-homogeneous Markov chains on general state spaces. A total of 34 different conditions are presented (27 for general chains plus 7 just for reversible chains), some old and some new, in terms of such notions as convergence bounds, drift conditions, spectral properties, etc., with different assumptions about the distance metric used, finiteness of function moments, initial distribution, uniformity of bounds, and more. Proofs of the connections between the different conditions are provided, mostly self-contained but using some results from the literature where appropriate.

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