Polynomial deviation bounds for recurrent Harris processes having general state space

DOI10.1051/PS/2011156MaRDI QIDQ5408467zbMATH OpenOpenAlexFDO

Authors Dasha Loukianova, E. Löcherbach

Publication date 10 April 2014

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.5610

zbMATH Keywords

continuous time Markov processesdrift conditionHarris recurrencemodulated momentNummelin splittingpolynomial deviation boundspolynomial ergodicity

Mathematics Subject Classification ID

Large deviations (60F10) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Markov processes: estimation; hidden Markov models (62M05)

Abstract: Consider a strong Markov process in continuous time, taking values in some Polish state space. Recently, Douc, Fort and Guillin (2009) introduced verifiable conditions in terms of a supermartingale property implying an explicit control of modulated moments of hitting times. We show how this control can be translated into a control of polynomial moments of abstract regeneration times which are obtained by using the regeneration method of Nummelin, extended to the time-continuous context. As a consequence, if a $p-$th moment of the regeneration times exists, we obtain non asymptotic deviation bounds of the form ${\displaystyle }$P_{ u}(|frac1tint_0^tf(X_s)ds-mu(f)|geqge)leq K(p)frac1{t^{p- 1}}frac 1{ge^{2(p-1)}}|f|_infty^{2(p-1)}, p geq 2. ${\displaystyle }$ Here, $f$ is a bounded function and $mu$ is the invariant measure of the process. We give several examples, including elliptic stochastic differential equations and stochastic differential equations driven by a jump noise.

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Cited in

(4)

• Concentration of scalar ergodic diffusions and some statistical implications
• Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
• Exponential ergodicity for diffusions with jumps driven by a Hawkes process
• Hitting times, functional inequalities, Lyapunov conditions and uniform ergodicity

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