Spectral analysis of Markov kernels and application to the convergence rate of discrete random walks

DOI10.1239/AAP/1418396242MaRDI QIDQ2939265zbMATHOpenAlexFDO

Authors Loïc Hervé, James Ledoux

Publication date 19 January 2015

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1656

zbMATH Keywords

Markov chaindrift conditionquasicompactness\(V\)-geometric ergodicity

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Linear operators defined by compactness properties (47B07)

Abstract: Let ${X_n}_{ninN}$ be a Markov chain on a measurable space $X$ with transition kernel $P$ and let $V:X[1,+infty)$. The Markov kernel $P$ is here considered as a linear bounded operator on the weighted-supremum space $c{B}_V$ associated with $V$. Then the combination of quasi-compactness arguments with precise analysis of eigen-elements of $P$ allows us to estimate the geometric rate of convergence $h{o}_V(P)$ of ${X_n}_{ninN}$ to its invariant probability measure in operator norm on $c{B}_V$. A general procedure to compute $h{o}_V(P)$ for discrete Markov random walks with identically distributed bounded increments is specified.

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Cited in

(7)

• Recurrence of multidimensional persistent random walks. Fourier and series criteria
• Computable bounds of an \(\ell^2\)-spectral gap for discrete Markov chains with band transition matrices
• Spectral analysis of random walk operators on Euclidean space
• Rate of convergence of Nummelin-type representation of the invariant distribution of a Markov chain via the residual kernel
• Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications
• Robustness of iterated function systems of Lipschitz maps
• Large deviations for vector-valued functionals of a Markov chain: Lower bounds

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