Ergodic behavior of Markov processes. With applications to limit theorems (Q2401704)

From the preface: The book has its origin in the lecture course prepared by the author in the University of Potsdam, TU Berlin, and Humboldt University of Berlin (March 2013), and in Ritsumeikan University (August 2013). The book pursues two major goals, and is divided into two parts. Part I contains a complete and self-consistent exposition of a set of methods, which allow one to establish ergodic rates for Markov systems. We systematically use the probabilistic coupling approach, which makes it possible to treat, in a unified and quite a transparent way, all the variety of Markov systems, from the classical case of Markov chains with finite state spaces, up to Markov processes with intrinsic memory, where only weak ergodic rates are available. Part II contains a discussion of the limit theorems for functional of Markov processes, namely, the law of large numbers, the central limit theorem, and their nonadditive generalizations: averaging principle and diffusion approximation. These two topics are naturally connected. The book is aimed for a wide auditory. A special attention is devoted for making the presentation systematic, and to simplify the reading for an audience, not necessarily expertised in the field. We expect that it will be useful for graduate and postgraduate students, specialized in Probability and Statistics, aiming to get a first acquaintance with the ergodic properties of Markov systems and related application. We also expect that the book will be useful for specialists in other fields, for example, statistics, Monte-Carlo simulation, statistical physics. Finally, we believe that the book will be interesting for the experts in the field, since most of the general results presented in the book are scattered in the literature, and their systematic exposition, in a sense, had forced the author to develop for them more direct and transparent versions, which made some of them actually stronger than the originals. Contents: Introduction Part I: Ergodic rates for Markov chains and processes; Chapter 1 ``Markov chains with discrete state spaces'' consists of four sections: 1.1 Basic definitions and facts; 1.2. Ergodic theorem (ergodic theorem for finite MCs; analytic proof of Theorem 1.2.1: contraction argument; probabilistic proof of Theorem 1.2.1: coupling argument; recurrence and transience, ergodic theorems for countable MCs); 1.3. Stationary MCs: ergodicity, mixing, and limit theorems; 1.4 Comments. Chapter 2 ``General Markov chains: ergodicity in total variation'' consists of ten sections: 2.1. Basic definitions and facts; 2.2. Total variation distance and the coupling lemma; 2.3. Uniform ergodicity: the Dobrushin theorem; 2.4. Preliminaries to nonuniform ergodicity: motivation and auxiliaries; 2.5. Stabilization of transition probabilities: Doob's theorem; 2.6. Nonuniform ergodicity at exponential rate: the Harris theorem; 2.7. Nonuniform ergodicity at subexponential rates; 2.8. Lyapunov-type conditions (linear Lyapunov-type condition and exponential ergodicity; Lyapunov-type condition for Cesaro means of moments; sublinear Lyapunov-type conditions and subexponential ergodicity); 2.9. Dobrushin condition: sufficient conditions and alternatives; 2.10. Comments. Chapter 3 ``Markov processes with continuous time'' contains five sections: 3.1 Basic definitions and facts; 3.2. Ergodicity in total variation: the skeleton chain approach; 3.3. Diffusion processes (Lyapunov-type conditions; Dobrushin condition); 3.4. Solutions to Levy-driven SDEs (Lyapunov-type condition: light tails case; Lyapunov-type condition: heavy tails case; Dobrushin condition); 3.5. Comments. Chapter 4 ''Weak ergodic rates'' has seven sections: 4.1 Markov models with intrinsic memory; 4.2. Dissipative stochastic systems (warm-up calculation: diffusions; dissipativity for a solution to SDDE); 4.3.Coupling distances for probability measures; 4.4. measurable selections and general coupling lemma for probability kernels; 4.5. Weak ergodic rates; 4.6. Applications to stochastic delay equations (Lyapunov-type conditions; generalized couplings and construction of \(d(x,y)\)); Comments. Part II: Limit theorems: Chapter 5 ``The law of large numbers and the central limit theorem'' has four sections: 5.1. Preliminaries; 5.2. The CLT for weakly ergodic Markov chains (the martingale CLT; the CLT for a weakly ergodic Markov chain); 5.3. Extensions (non-stationary setting; continuous-time setting); 5.4. Comments. Chapter 6 ``Functional limit theorems'' has four sections: 6.1. Preliminaries; 6.2. Autoregressive models with Markov regime; 6.3. The time delay method for general autoregressive models (general statements; averaging principle and diffusion approximation for systems with fast Markov perturbations; a fully coupled system with dissipative fast component); 6.4. Comments.