State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains

DOI10.1016/J.SPA.2009.10.001MaRDI QIDQ1045796zbMATH OpenOpenAlexFDO

Authors Stephen B. Connor, Gersende Fort

Publication date 16 December 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.2453

zbMATH Keywords

Foster-Lyapunov functionsMarkov chainsnetworks of queuesregularitystate-dependent drift conditionstame chains

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We consider a form of state-dependent drift condition for a general Markov chain, whereby the chain subsampled at some deterministic time satisfies a geometric Foster-Lyapunov condition. We present sufficient criteria for such a drift condition to exist, and use these to partially answer a question posed by Connor & Kendall (2007) concerning the existence of so-called 'tame' Markov chains. Furthermore, we show that our 'subsampled drift condition' implies the existence of finite moments for the return time to a small set.

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Cited in

(8)

• State-dependent criteria for convergence of Markov chains
• Subgeometric ergodicity analysis of continuous-time Markov chains under random-time state-dependent Lyapunov drift conditions
• Subgeometric ergodicity under random-time state-dependent drift conditions
• Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
• A note on Foster-Lyapunov drift condition for recurrence of Markov chains on general state spaces
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• Perfect simulation of \(\mathrm{M}/\mathrm{G}/c\) queues
• Quantitative convergence rates for stochastically monotone Markov chains

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