Estimate the exponential convergence rate of f-ergodicity via spectral gap

DOI10.1016/J.SPL.2020.108924MaRDI QIDQ826664zbMATH OpenOpenAlexWikidataFDO

Authors Xianping Guo, Zhong Wei Liao

Publication date 6 January 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.13986

zbMATH Keywords

\(f\)-ergodicity\(h\)-transformMarkov chainspectral gap

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: This paper studies the f-ergodicity and its exponential convergence rate for continuous-time Markov chain. Assume f is square integrable, for reversible Markov chain, it is proved that the exponential convergence of f-ergodicity holds if and only if the spectral gap of the generator is positive. Moreover, the convergence rate is equal to the spectral gap. For irreversible case, the positivity of spectral gap remains a sufficient condition of f-ergodicity. The effectiveness of these results are illustrated by some typical examples.

Recommendations

• Estimate of exponential convergence rate in total variation by spectral gap
• scientific article; zbMATH DE number 1829138
• Spectral gap and convergence rate for discrete-time Markov chains
• ExponentialL 2-convergence andL 2-spectral gap for Markov processes
• Three kinds of geometric convergence for Markov chains and the spectral gap property

Cites work

• \(L^p\)-Poincaré inequality for general symmetric forms
• Analysis and geometry of Markov diffusion operators
• Average optimality for continuous-time Markov decision processes in Polish spaces
• Computable exponential convergence rates for stochastically ordered Markov processes
• Equivalence of exponential ergodicity and \(L^ 2\)-exponential convergence for Markov chains.
• Estimate of exponential convergence rate in total variation by spectral gap
• Explicit and almost explicit spectral calculations for diffusion operators
• Exponential \(L_ 2\) convergence of attractive reversible nearest particle systems
• Exponential and uniform ergodicity of Markov processes
• Functional inequalities for empty essential spectrum
• scientific article; zbMATH DE number 2133327 (Why is no real title available?)
• Markov chains and stochastic stability
• Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré
• Subgeometric Rates of Convergence of f-Ergodic Markov Chains
• Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
• Weak logarithmic Sobolev inequalities and entropic convergence
• Weak Poincaré inequalities and L^2-convergence rates of Markov semigroups

Cited in

(4)

• Spectral measures and rates of convergence in the ergodic theorem
• Spectral gap and rate of convergence to equilibrium for a class of conditioned Brownian motions
• Estimate of exponential convergence rate in total variation by spectral gap
• scientific article; zbMATH DE number 1829138 (Why is no real title available?)

This page was built for publication: Estimate the exponential convergence rate of \(f\)-ergodicity via spectral gap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q826664)