Reducing metastable continuous-space Markov chains to Markov chains on a finite set

arXiv2303.12624MaRDI QIDQ6509280FDOQ6509280

Authors: Nils Berglund 

Abstract: We consider continuous-space, discrete-time Markov chains on $mathbb{R}^d$, that admit a finite number $N$ of metastable states. Our main motivation for investigating these processes is to analyse random Poincar'e maps, which describe random perturbations of ordinary differential equations admitting several periodic orbits. We show that under a few general assumptions, which hold in many examples of interest, the kernels of these Markov chains admit $N$ eigenvalues exponentially close to $1$, which are separated from the remainder of the spectrum by a spectral gap that can be quantified. Our main result states that these Markov chains can be approximated, uniformly in time, by a finite Markov chain with $N$ states. The transition probabilities of the finite chain are exponentially close to first-passage probabilities at neighbourhoods of metastable states, when starting in suitable quasistationary distributions.

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Ordinary differential equations and systems with randomness (34F05) Transition functions, generators and resolvents (60J35) General theory of random and stochastic dynamical systems (37H05)

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