On the ergodicity of certain Markov chains in random environments

DOI10.1007/S10959-023-01256-7MaRDI QIDQ6071174zbMATH OpenOpenAlexFDO

Authors Balázs Gerencsér, Miklós Rásonyi

Publication date 21 November 2023

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1807.03568

zbMATH Keywords

ergodicityMarkov chainrandom environment

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Processes in random environments (60K37)

Abstract: We study the ergodic behaviour of a discrete-time process $X$ which is a Markov chain in a stationary random environment. The laws of $X_t$ are shown to converge to a limiting law in (weighted) total variation distance as $toinfty$. Convergence speed is estimated and an ergodic theorem is established for functionals of $X$. Our hypotheses on $X$ combine the standard "small set" and "drift" conditions for geometrically ergodic Markov chains with conditions on the growth rate of a certain "maximal process" of the random environment. We are able to cover a wide range of models that have heretofore been untractable. In particular, our results are pertinent to difference equations modulated by a stationary Gaussian process. Such equations arise in applications, for example, in discretized stochastic volatility models of mathematical finance.

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Cited in

(5)

• Ergodic behavior of a Markov chain model in a stochastic environment
• On ergodicity of general Markov chains
• The conservative part and invariant probability of a class of Markov chains in random environments
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