Measure concentration through non-Lipschitz observables and functional inequalities

DOI10.1214/EJP.V18-2425zbMATH Open1282.60024arXiv1202.2341WikidataQ125884082 ScholiaQ125884082MaRDI QIDQ388945FDOQ388945

Authors: Aldéric Joulin, Arnaud Guillin 

Publication date: 17 January 2014

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

Abstract: Non-Gaussian concentration estimates are obtained for invariant probability measures of reversible Markov processes. We show that the functional inequalities approach combined with a suitable Lyapunov condition allows us to circumvent the classical Lipschitz assumption of the observables. Our method is general and covers diffusions as well as pure-jump Markov processes on unbounded spaces.

Full work available at URL: https://arxiv.org/abs/1202.2341

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zbMATH Keywords

diffusion processinvariant measureconcentrationjump processLyapunov conditionfunctional inequality[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=carr%EF%BF%BD%EF%BF%BD+du+champ&go=Go carr�� du champ]reversible Markov process

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (5)

• On the concentration of measure and the \(L^1\)-norm
• Concentration inequalities for non-Lipschitz functions with bounded derivatives of higher order
• Concentration of non‐Lipschitz functions and applications
• Modified log-Sobolev inequalities, Beckner inequalities and moment estimates
• Concentration of Lipschitz Functionals of Determinantal and Other Strong Rayleigh Measures

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