Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses

From MaRDI portal
Publication:1767550

DOI10.1214/EJP.v10-231zbMath1079.60067arXivmath/0509310MaRDI QIDQ1767550

Ioannis Kontoyiannis, Sean P. Meyn

Publication date: 8 March 2005

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509310




Related Items

Exponential growth of branching processes in a general context of lifetimes and birthtimes dependenceMultiplicative ergodicity of Laplace transforms for additive functional of Markov chainsApproximating a diffusion by a finite-state hidden Markov modelRandom recurrence equations and ruin in a Markov-dependent stochastic economic environmentGraph-combinatorial approach for large deviations of Markov chainsRisk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State SpaceGeometric ergodicity of the bouncy particle samplerRisk sensitive control of pure jump processes on a general state spaceRisk-sensitive control with near monotone costStability properties of some particle filtersGeometric ergodicity in a weighted Sobolev spaceGeometric ergodicity and the spectral gap of non-reversible Markov chainsSelf-improvement of the Bakry-Emery criterion for Poincaré inequalities and Wasserstein contraction using variable curvature boundsLarge deviations for random dynamical systems and applications to hidden Markov modelsYoung, timid, and risk takersKullback–Leibler-Quadratic Optimal ControlExponential ergodicity of a degenerate age-size piecewise deterministic processApproximations for the distribution of perpetuities with small discount ratesA large deviation principle for the empirical measures of Metropolis-Hastings chainsRecent advances in the long-time analysis of killed degenerate processes and their particle approximationSample-path large deviations for a class of heavy-tailed Markov-additive processesA non‐conservative Harris ergodic theoremRejoinder: ``Gibbs sampling, exponential families and orthogonal polynomialsExplicit bounds for spectral theory of geometrically ergodic Markov kernels and applicationsLinear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulaeDiscrete-time zero-sum games for Markov chains with risk-sensitive average cost criterionOrdinary Differential Equation Methods for Markov Decision Processes and Application to Kullback--Leibler Control CostApproximating Markov chains and \(V\)-geometric ergodicity via weak perturbation theoryDiffusion Map-based Algorithm for Gain Function Approximation in the Feedback Particle FilterSmall-time asymptotics for fast mean-reverting stochastic volatility modelsMultilevel sequential Monte Carlo: Mean square error bounds under verifiable conditionsTotal variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruinPhase transitions and metastability in Markovian and molecular systemsLarge deviations in non-uniformly hyperbolic dynamical systemsExponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov processA nonconventional local limit theoremSample path large deviations for Lévy processes and random walks with Weibull incrementsInfinite horizon risk-sensitive control of diffusions without any blanket stability assumptionsError Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High DimensionsFirst hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck processPolynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times\(V\)-uniform ergodicity for state-dependent single class queueing networksLarge deviation asymptotics and control variates for simulating large functionsWorst-case large-deviation asymptotics with application to queueing and information theoryLarge deviations of Markov chains with multiple time-scalesExponential concentration inequalities for additive functionals of Markov chainsLarge deviations of empirical measures of diffusions in weighted topologiesUniform approximations of discrete-time filtersMarkov chains in random environment with applications in queuing theory and machine learningMultiplicative ergodic theorem for a non-irreducible random dynamical systemPositive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term PricingTail asymptotics for busy periodsRisk-sensitive control of continuous time Markov chainsForgetting the initial distribution for hidden Markov modelsErgodic theorems for queuing systems with dependent inter-arrival timesMore on the long time stability of Feynman-Kac semigroupsAnalysis of non-reversible Markov chains via similarity orbitsA probabilistic view on the long-time behaviour of growth-fragmentation semigroups with bounded fragmentation ratesAsymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets