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Spectral Analysis of Markov Kernels and Application to the Convergence Rate Of Discrete Random Walks

Part of: Special classes of linear operators Markov processes

Published online by Cambridge University Press:  22 February 2016

Loïc Hervé  and
James Ledoux
Loïc Hervé*
Affiliation:
INSA de Rennes
James Ledoux*
Affiliation:
INSA de Rennes
*
∗ Postal address: INSA de Rennes, IRMAR CNRS-UMR 6625, 20 avenue des Buttes de Coesmes, CS 70 839, 35708 Rennes cedex 7, France.
∗ Postal address: INSA de Rennes, IRMAR CNRS-UMR 6625, 20 avenue des Buttes de Coesmes, CS 70 839, 35708 Rennes cedex 7, France.
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Abstract

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Let {X n }n∈ℕ be a Markov chain on a measurable space with transition kernel P, and let The Markov kernel P is here considered as a linear bounded operator on the weighted-supremum space associated with V. Then the combination of quasicompactness arguments with precise analysis of eigenelements of P allows us to estimate the geometric rate of convergence ρV (P) of {X n }n∈ℕ to its invariant probability measure in operator norm on A general procedure to compute ρV (P) for discrete Markov random walks with identically distributed bounded increments is specified.

Keywords

V-geometric ergodicityquasicompactnessdrift conditionbirth-and-death Markov chain

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces) 47B07: Operators defined by compactness properties

Information

Type
General Applied Probability
Information
Advances in Applied Probability , Volume 46 , Issue 4 , December 2014 , pp. 1036 - 1058
Copyright
© Applied Probability Trust 

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