On quantitative convergence to quasi-stationarity

DOI10.5802/AFST.1472zbMATH Open1335.60142arXiv1406.1805OpenAlexW1668726904MaRDI QIDQ5963361FDOQ5963361

Authors: Persi Diaconis, Laurent Miclo 

Publication date: 19 February 2016

Published in: Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI (Search for Journal in Brave)

Abstract: The quantitative long time behavior of absorbing, finite, irreducible Markov processes is considered. Via Doob transforms, it is shown that only the knowledge of the ratio of the values of the underlying first Dirichlet eigenvector is necessary to come back to the well-investigated situation of the convergence to equilibrium of ergodic finite Markov processes. This leads to explicit estimates on the convergence to quasi-stationarity, in particular via functional inequalities. When the process is reversible, the optimal exponential rate consisting of the spectral gap between the two first Dirichlet eigenvalues is recovered. Several simple examples are provided to illustrate the bounds obtained.

Full work available at URL: https://arxiv.org/abs/1406.1805

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zbMATH Keywords

convergence ratefinite Markov processesquasi-stationarity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Limit theorems in probability theory (60F99) Continuous-time Markov processes on discrete state spaces (60J27)

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Cited In (24)

• Quasi-stationary distribution for strongly Feller Markov processes by Lyapunov functions and applications to hypoelliptic Hamiltonian systems
• Analytic-geometric methods for finite Markov chains with applications to quasi-stationarity
• Estimates on the amplitude of the first Dirichlet eigenvector in discrete frameworks
• Quasistationary distributions for one-dimensional diffusions with singular boundary points
• An exercise(?) in Fourier analysis on the Heisenberg group
• Quasi-stationary distribution for Hamiltonian dynamics with singular potentials
• Convergence to quasi-stationarity through Poincaré inequalities and Bakry-Émery criteria
• Unique quasi-stationary distribution, with a possibly stabilizing extinction
• Concentration of hitting times in Erdős-Rényi graphs
• On time scales and quasi-stationary distributions for multitype birth-and-death processes
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• Gambler's ruin estimates on finite inner uniform domains
• The Hairer--Quastel universality result in equilibrium
• A note on the convergence of quantizers
• Exponential convergence to quasi-stationary distribution and \(Q\)-process
• HITTING TIME DISTRIBUTIONS FOR BIRTH–DEATH PROCESSES WITH BILATERAL ABSORBING BOUNDARIES
• Reachability and safety objectives in Markov decision processes on long but finite horizons
• Theoretical properties of quasi-stationary Monte Carlo methods
• Sharp asymptotics for the quasi-stationary distribution of birth-and-death processes
• Exponential convergence to a quasi-stationary distribution for birth–death processes with an entrance boundary at infinity

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