Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
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Publication:1767550
DOI10.1214/EJP.V10-231zbMATH Open1079.60067arXivmath/0509310MaRDI QIDQ1767550FDOQ1767550
Authors: Ioannis Kontoyiannis, Sean P. Meyn 
Publication date: 8 March 2005
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Abstract: We continue the investigation of the spectral theory and exponential asymptotics of Markov processes, following Kontoyiannis and Meyn (2003). We introduce a new family of nonlinear Lyapunov drift criteria, characterizing distinct subclasses of geometrically ergodic Markov processes in terms of inequalities for the nonlinear generator. We concentrate on the class of "multiplicatively regular" Markov processes, characterized via conditions similar to (but weaker than) those of Donsker-Varadhan. For any such process {Phi(t)} with transition kernel P on a general state space, the following are obtained. 1. SPECTRAL THEORY: For a large class of functionals F, the kernel Phat(x,dy) = e^{F(x)}P(x,dy) has a discrete spectrum in an appropriately defined Banach space. There exists a "maximal" solution to the "multiplicative Poisson equation," defined as the eigenvalue problem for Phat. Regularity properties are established for Lambda(F) = log(lambda), where lambda is the maximal eigenvalue, and for its convex dual. 2. MULTIPLICATIVE MEAN ERGODIC THEOREM: The normalized mean E_x[exp(S_t)] of the exponential of the partial sums {S_t} of the process with respect to any one of the above functionals F, converges to the maximal eigenfunction. 3. MULTIPLICATIVE REGULARITY: The drift criterion under which our results are derived is equivalent to the existence of regeneration times with finite exponential moments for {S_t}. 4. LARGE DEVIATIONS: The sequence of empirical measures of {Phi(t)} satisfies an LDP in a topology finer than the au-topology. The rate function is Lambda^* and it coincides with the Donsker-Varadhan rate function. 5. EXACTR LARGE DEVIATIONS: The partial sums {S_t} satisfy an exact LD expansion, analogous to that obtained for independent random variables.
Full work available at URL: https://arxiv.org/abs/math/0509310
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Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25) Ergodic theorems, spectral theory, Markov operators (37A30) Nonlinear operators and their properties (47H99)
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