Central limit theorem for Markov processes with spectral gap in the Wasserstein metric

DOI10.1016/J.SPA.2012.03.006zbMATH Open1244.60024arXiv1102.1842OpenAlexW1970861445MaRDI QIDQ424528FDOQ424528

Authors: Tomasz Komorowski, Anna Walczuk 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Suppose that $X_t,,tge0$ is a non-stationary Markov process, taking values in a Polish metric space $E$. We prove the law of large numbers and central limit theorem for an additive functional of the form $in{t}_0^{T}psi(X_s)ds$, provided that the dual transition probability semigroup, defined on measures, is strongly contractive in an appropriate Wasserstein metric. Function $psi$ is assumed to be Lipschitz on $E$.

Full work available at URL: https://arxiv.org/abs/1102.1842

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zbMATH Keywords

central limit theoremWasserstein metricMarkov process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Local time and additive functionals (60J55)

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Cited In (43)

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