Geometric ergodicity in a weighted Sobolev space

DOI10.1214/19-AOP1364MaRDI QIDQ2184822zbMATH OpenFDO

Authors Adithya Devraj, Ioannis Kontoyiannis, Sean P. Meyn

Publication date 29 May 2020

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.03652, https://projecteuclid.org/euclid.aop/1585123332

zbMATH Keywords

discrete spectrumLyapunov exponentMarkov chainsensitivity processstochastic Lyapunov functionweighted Sobolev space

Mathematics Subject Classification ID

Ergodic theorems, spectral theory, Markov operators (37A30) Ergodic theory of linear operators (47A35) Semigroups of nonlinear operators (47H20) Discrete-time Markov processes on general state spaces (60J05) Transition functions, generators and resolvents (60J35)

Abstract: For a discrete-time Markov chain $X(t)$ evolving on $R{e}^{e}ll$ with transition kernel $P$, natural, general conditions are developed under which the following are established: 1. The transition kernel $P$ has a purely discrete spectrum, when viewed as a linear operator on a weighted Sobolev space $L_{i}nft{y}^{v,1}$ of functions with norm, ${\displaystyle }$ |f|_{v,1} = sup_{x in Re^ell} frac{1}{v(x)} max {|f(x)|, |partial_1 f(x)|,ldots,|partial_ell f(x)|}, ${\displaystyle }$ where $vcolonR{e}^{e}llo[1,infty)$ is a Lyapunov function and $partia{l}_i:=partial/partial{x}_i$. 2. The Markov chain is geometrically ergodic in $L_{i}nft{y}^{v,1}$: There is a unique invariant probability measure $pi$ and constants $B<infty$ and $delta>0$ such that, for each $fin{L}_{i}nft{y}^{v,1}$, any initial condition $X(0)=x$, and all $tgeq0$: ${\displaystyle }$Big| ext{E}_x[f(X(t))] - pi(f)Big| le Be^{-delta t}v(x),quad | abla ext{E}_x[f(X(t))] |_2 le Be^{-delta t} v(x), ${\displaystyle }$ where $pi(f)=intfdpi$. 3. For any function $fin{L}_{i}nft{y}^{v,1}$ there is a function $hin{L}_{i}nft{y}^{v,1}$ solving Poisson's equation: [ h-Ph = f-pi(f). ] Part of the analysis is based on an operator-theoretic treatment of the sensitivity process that appears in the theory of Lyapunov exponents.

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Cited in

(4)

• On an approximation of average cost per unit time impulse control of Markov processes
• Perturbation bounds and convergence rates for uniformly ergodic Markov chains
• A non-asymptotic error analysis for parallel Monte Carlo estimation from many short Markov chains
• The ODE method for asymptotic statistics in stochastic approximation and reinforcement learning

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