On ergodicity of some Markov processes

DOI10.1214/09-AOP513zbMATH Open1214.60035arXiv0810.4609OpenAlexW3104651978MaRDI QIDQ989181FDOQ989181

Authors: Tomasz Komorowski, Szymon Peszat, Tomasz Szarek 

Publication date: 30 August 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We formulate a criterion for the existence and uniqueness of an invariant measure for a Markov process taking values in a Polish phase space. In addition, weak-${}^{\ast }$ ergodicity, that is, the weak convergence of the ergodic averages of the laws of the process starting from any initial distribution, is established. The principal assumptions are the existence of a lower bound for the ergodic averages of the transition probability function and its local uniform continuity. The latter is called the e-property. The general result is applied to solutions of some stochastic evolution equations in Hilbert spaces. As an example, we consider an evolution equation whose solution describes the Lagrangian observations of the velocity field in the passive tracer model. The weak-${}^{\ast }$ mean ergodicity of the corresponding invariant measure is used to derive the law of large numbers for the trajectory of a tracer.

Full work available at URL: https://arxiv.org/abs/0810.4609

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zbMATH Keywords

ergodic theoryinvariant measuresFeller processstochastic evolution equationsergodicity of Markov familiesnonlocally compact state spacepassive tracer dynamics

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Ergodic theorems, spectral theory, Markov operators (37A30) Existence, uniqueness, and regularity theory for compressible fluids and gas dynamics (76N10)

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