Spectral analysis of the zigzag process

DOI10.1214/21-AIHP1188MaRDI QIDQ6318235arXivFDO

Authors Joris Bierkens, Sjoerd M. Verduyn Lunel

Publication date 5 May 2019

Published in arXiv

Full work available at URL https://doi.org/10.1214/21-AIHP1188

Mathematics Subject Classification ID

Ergodic theorems, spectral theory, Markov operators (37A30) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Spectrum, resolvent (47A10) Random operators and equations (aspects of stochastic analysis) (60H25) Continuous-time Markov processes on general state spaces (60J25)

arXiv classification

math.PRmath.SP

Abstract: The zigzag process is a variant of the telegraph process with position dependent switching intensities. A characterization of the $L^2$-spectrum for the generator of the one-dimensional zigzag process is obtained in the case where the marginal stationary distribution on $R$ is unimodal and the refreshment intensity is zero. Sufficient conditions are obtained for a spectral mapping theorem, mapping the spectrum of the generator to the spectrum of the corresponding Markov semigroup. Furthermore results are obtained for symmetric stationary distributions and for perturbations of the spectrum, in particular for the case of a non-zero refreshment intensity. In the examples we consider (including a Gaussian target distribution) a slight increase of the refreshment intensity above zero results in a larger $L^2$-spectral gap, corresponding to an improved convergence in $L^2$.

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