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

DOI10.1239/AAP/1418396242zbMATH Open1305.60060arXiv1312.1656OpenAlexW2963852885MaRDI QIDQ2939265FDOQ2939265

Authors: Loïc Hervé, James Ledoux 

Publication date: 19 January 2015

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

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.

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

Recommendations

• Applications of geometric bounds to the convergence rate of Markov chains on \(\mathbb R^ {n}\).
• Approximating Markov chains and \(V\)-geometric ergodicity via weak perturbation theory
• Computable bounds of an \(\ell^2\)-spectral gap for discrete Markov chains with band transition matrices
• Spectral gap and convergence rate for discrete-time Markov chains
• Spectral analysis of random walk operators on Euclidean space

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)

Cites Work

• Markov chains and stochastic stability
• Computable bounds for geometric convergence rates of Markov chains
• Multi-dimensional asymptotically quasi-Toeplitz Markov chains and their application in queueing theory
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• Bounds on regeneration times and convergence rates for Markov chains
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• Geometric Convergence Rates for Stochastically Ordered Markov Chains
• Essential spectral radius for Markov semigroups. I: Discrete time case
• Approximating Markov chains and \(V\)-geometric ergodicity via weak perturbation theory
• Sur un Theoreme Spectral et son Application aux Noyaux Lipchitziens
• Geometric ergodicity and the spectral gap of non-reversible Markov chains
• On ergodicity and recurrence properties of a Markov chain by an application to an open jackson network
• Geomatric ergodicity and quasi-stationarity in discrete-time birth-death processes
• Title not available (Why is that?)
• Orthogonality and probability: beyond nearest neighbor transitions
• Markov chain convergence: From finite to infinite

Cited In (5)

• Robustness of iterated function systems of Lipschitz maps
• Recurrence of multidimensional persistent random walks. Fourier and series criteria
• Explicit bounds for spectral theory of geometrically ergodic Markov kernels and applications
• Spectral analysis of random walk operators on Euclidean space
• Large deviations for vector-valued functionals of a Markov chain: Lower bounds

This page was built for publication: Spectral analysis of Markov kernels and application to the convergence rate of discrete random walks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2939265)