Spectral gap and convex concentration inequalities for birth–death processes
Liu, Wei ; Ma, Yutao
Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, p. 58-69 / Harvested from Project Euclid
In this paper, we consider a birth–death process with generator $\mathcal{L}$ and reversible invariant probability π. Given an increasing function ρ and the associated Lipschitz norm ‖⋅‖Lip(ρ), we find an explicit formula for $\|(-\mathcal{L})^{-1}\|_{\operatorname {Lip}(\rho)}$ . As a typical application, with spectral theory, we revisit one variational formula of M. F. Chen for the spectral gap of $\mathcal{L}$ in L2(π). Moreover, by Lyons–Zheng’s forward-backward martingale decomposition theorem, we get convex concentration inequalities for additive functionals of birth–death processes.
Publié le : 2009-02-15
Classification:  Birth–death process,  Spectral gap,  Lipschitz function,  Poisson equation,  Convex concentration inequality,  60E15,  60G27
@article{1234469971,
     author = {Liu, Wei and Ma, Yutao},
     title = {Spectral gap and convex concentration inequalities for birth--death processes},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {45},
     number = {1},
     year = {2009},
     pages = { 58-69},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1234469971}
}
Liu, Wei; Ma, Yutao. Spectral gap and convex concentration inequalities for birth–death processes. Ann. Inst. H. Poincaré Probab. Statist., Tome 45 (2009) no. 1, pp.  58-69. http://gdmltest.u-ga.fr/item/1234469971/