Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

DOI10.1016/J.SPL.2013.12.023MaRDI QIDQ2452875zbMATH OpenOpenAlexFDO

Authors Alain Le Breton, Bernard Ycart, Marina Kleptsyna

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.5661

zbMATH Keywords

Laplace transformGauss-Markov processesmultiplicative ergodicity

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Laplace transform (44A10)

Abstract: The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplicative ergodicity are deduced.

Cites work

• Exponential growth of bifurcating processes with ancestral dependence
• Large deviation asymptotics and control variates for simulating large functions
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Markov chains and stochastic stability
• Multiplicative ergodicity and large deviations for an irreducible Markov chain.
• New formulas concerning Laplace transforms of quadratic forms for general Gaussian sequences
• Spectral theory and limit theorems for geometrically ergodic Markov processes

Cited in

(2)

• Exponential growth of bifurcating processes with ancestral dependence
• Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes

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