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

DOI10.1016/J.SPA.2012.03.006MaRDI QIDQ424528zbMATH OpenOpenAlexFDO

Authors Tomasz Komorowski, Anna Walczuk

Publication date 1 June 2012

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

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

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)

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 $E$.

Recommendations

• Central limit theorem for an additive functional of a Markov process, stable in the Wesserstein metric
• Central Limit Theorem for some non-stationary Markov chains
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap
• scientific article; zbMATH DE number 1042634
• The spectral method and the central limit theorem for general Markov chains

Cites work

• scientific article; zbMATH DE number 709355 (Why is no real title available?)
• scientific article; zbMATH DE number 978565 (Why is no real title available?)
• scientific article; zbMATH DE number 3337280 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• A Fourth Moment Inequality for Functionals of Stationary Processes
• Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
• Central limit theorem for an additive functional of a Markov process, stable in the Wesserstein metric
• Central limit theorem started at a point for stationary processes and additive functionals of reversible Markov chains
• Central limit theorems for additive functionals of Markov chains.
• Ergodicity for Infinite Dimensional Systems
• Ergodicity of the 2D Navier-Stokes equations with degenerate stochastic forcing
• Fluctuations in Markov processes. Time symmetry and martingale approximation.
• Law of large numbers and central limit theorem for randomly forced PDE's
• Markov chains and stochastic stability
• Martingale approximations for continuous-time and discrete-time stationary Markov processes
• Necessary and sufficient conditions for the conditional central limit theorem
• On a Class of Markov Processes
• On ergodicity of some Markov processes
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• One-Parameter Semigroups for Linear Evolution Equations
• POINTWISE ERGODIC THEOREMS WITH RATE WITH APPLICATIONS TO LIMIT THEOREMS FOR STATIONARY PROCESSES
• Self diffusion of a tagged particle in equilibrium for asymmetric mean zero random walk with simple exclusion
• Spectral gaps in Wasserstein distances and the 2D stochastic Navier-Stokes equations
• Stability of a 4th-order curvature condition arising in optimal transport theory
• Stochastic Equations in Infinite Dimensions
• Stochastic Partial Differential Equations with Levy Noise
• Strong invariance principles for dependent random variables
• The central limit theorem for Markov chains started at a point
• The central limit theorem for Markov chains with normal transition operators, started at a point
• The uniqueness of invariant measures for Markov operators
• Théorèmes limites pour une classe de chaînes de Markov et applications aux difféomorphismes d'Anosov. (Limit theorems for a class of Markov chains and applications to Anosov diffeomorphisms)

Cited in

(43)

• Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
• A useful version of the central limit theorem for a general class of Markov chains
• The law of the iterated logarithm for random dynamical system with jumps and state-dependent jump intensity
• Diffusion approximation of systems with weakly ergodic Markov perturbations. II
• Ergodic and mixing properties of the Boussinesq equations with a degenerate random forcing
• Exponential rate of convergence for some Markov operators
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• Limit theorems of additive functionals for regime-switching diffusions with infinite delay
• Limits theorems for random walks on homeo\(( \mathrm{S}^1)\)
• \(L^2\)-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
• The central limit theorem for iterated function systems on the circle
• CLT for approximating ergodic limit of SPDEs via a full discretization
• The central limit theorems for integrable Hamiltonian systems perturbed by white noise
• Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions
• On the convergence complexity of Gibbs samplers for a family of simple Bayesian random effects models
• Limit theorems for additive functionals of stochastic functional differential equations with infinite delay
• Well-posedness of stochastic 2D hydrodynamics type systems with multiplicative Lévy noises
• Synchronization rates and limit laws for random dynamical systems
• A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
• Ergodicity and central limit theorem for random interval homeomorphisms
• Random iteration with place dependent probabilities
• Gradient flows for regularized stochastic control problems
• Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions
• Central limit theorem for an additive functional of a Markov process, stable in the Wesserstein metric
• Limit theorems for stationary Markov processes with \(L^{2}\)-spectral gap
• Sub and supercritical stochastic quasi-geostrophic equation
• Ergodicity and exponential mixing of the real Ginzburg-Landau equation with a degenerate noise
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• The central limit theorem for random dynamical systems
• The e-property of asymptotically stable Markov semigroups
• Self-similar behavior of a nonlocal diffusion equation with time delay
• Exact convergence analysis for metropolis–hastings independence samplers in Wasserstein distances
• Quantitative contraction rates for Markov chains on general state spaces
• Central limit theorem for spectral partial Bergman kernels
• Convergence rates of Metropolis-Hastings algorithms
• Reflection couplings and contraction rates for diffusions
• Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
• Exponential mixing for the fractional magneto-hydrodynamic equations with degenerate stochastic forcing
• Coupling approach for exponential ergodicity of stochastic Hamiltonian systems with Lévy noises
• The central limit theorem for Markov processes that are exponentially ergodic in the bounded-Lipschitz norm
• Limit theorems for additive functionals of path-dependent SDEs
• Mixing rates for Hamiltonian Monte Carlo algorithms in finite and infinite dimensions
• Limit theorems for some Markov chains

This page was built for publication: Central limit theorem for Markov processes with spectral gap in the Wasserstein metric

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424528)