Geometric Ergodicity and R-positivity for General Markov Chains
Nummelin, E. ; Tweedie, R. L.
Ann. Probab., Tome 6 (1978) no. 6, p. 404-420 / Harvested from Project Euclid
We show that for positive recurrent Markov chains on a general state space, a geometric rate of convergence to the stationary distribution $\pi$ in a "small" region ensures the existence of a uniform rate $\rho < 1$ such that for $\pi-\mathrm{a.a.} x, \|P^n(x, \bullet) - \pi(\bullet)\| = O(\rho^n)$. In particular, if there is a point $\alpha$ in the space with $\pi(\alpha) > 0$, the result holds if $|P^n(\alpha, \alpha) - \pi(\alpha)| = O(\rho^n_\alpha)$ for some $\rho_\alpha < 1$. This extends and strengthens the known results on a countable state space. Our results are put in the more general $R$-theoretic context, and the methods we use enable us to establish the existence of limits for sequences $\{R^nP^n(x, A)\}$, as well as exhibiting the solidarity of a geometric rate of convergence for such sequences. We conclude by applying our results to random walk on a half-line.
Publié le : 1978-06-14
Classification:  Ergodic,  Markov chain,  geometric ergodicity,  rate of convergence,  invariant measure,  $R$-theory,  splitting,  60J10
@article{1176995527,
     author = {Nummelin, E. and Tweedie, R. L.},
     title = {Geometric Ergodicity and R-positivity for General Markov Chains},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 404-420},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995527}
}
Nummelin, E.; Tweedie, R. L. Geometric Ergodicity and R-positivity for General Markov Chains. Ann. Probab., Tome 6 (1978) no. 6, pp.  404-420. http://gdmltest.u-ga.fr/item/1176995527/