Displaying similar documents to “Quasi-compactness and mean ergodicity for Markov kernels acting on weighted supremum normed spaces”

Limit theorems for some functionals with heavy tails of a discrete time Markov chain

Patrick Cattiaux, Mawaki Manou-Abi (2014)

ESAIM: Probability and Statistics

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Consider an irreducible, aperiodic and positive recurrent discrete time Markov chain ( ≥ 0) with invariant distribution . We shall investigate the long time behaviour of some functionals of the chain, in particular the additive functional S n = ∑ i = 1 n f ( X i ) S n = ∑ i = 1 n f ( X i ) for a possibly non square integrable function. To this end we shall link ergodic properties of the chain to mixing properties, extending known results in the continuous time case. We will then...

Cutoff for samples of Markov chains

Bernard Ycart (2010)

ESAIM: Probability and Statistics

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We study the convergence to equilibrium of samples of independent Markov chains in discrete and continuous time. They are defined as Markov chains on the fold Cartesian product of the initial state space by itself, and they converge to the direct product of copies of the initial stationary distribution. Sharp estimates for the convergence speed are given in terms of the spectrum of the initial chain. A cutoff phenomenon occurs in the sense that as tends to infinity, the total...

Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times

Eva Löcherbach, Dasha Loukianova, Oleg Loukianov (2011)

Annales de l'I.H.P. Probabilités et statistiques

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Let be a one-dimensional positive recurrent diffusion with initial distribution and invariant probability . Suppose that for some >1, ∈ℝ such that ∀∈ℝ, and , where is the hitting time of . For such a diffusion, we derive non-asymptotic deviation bounds of the form ℙ(|(1/)0 ( ) d−()|≥)≤()(1/ /2)(1/ )(). Here bounded or bounded and compactly supported and ()=‖‖∞ when is bounded and ()=(||) when is...

Asymptotic behavior of second-order dissipative evolution equations combining potential with non-potential effects

Hedy Attouch, Paul-Émile Maingé (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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In the setting of a real Hilbert space ℋ , we investigate the asymptotic behavior, as time  goes to infinity, of trajectories of second-order evolution equations            () + u ˙ () + (()) + (()) = 0, where is the gradient operator of a convex differentiable potential function : ℋ → ℝ ,: ℋ → ℋ is a maximal monotone operator which is assumed to be-cocoercive, and > 0 is a damping parameter. Potential and non-potential effects are associated...

Densité des orbites des trajectoires browniennes sous l’action de la transformation de Lévy

Jean Brossard, Christophe Leuridan (2012)

Annales de l'I.H.P. Probabilités et statistiques

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Let be a measurable transformation of a probability space ( E , ℰ , π ) , preserving the measure. Let be a random variable with law . Call (⋅, ⋅) a regular version of the conditional law of given (). Fix B ∈ ℰ . We first prove that if is reachable from -almost every point for a Markov chain of kernel , then the -orbit of -almost every point visits . We then apply this result to the Lévy transform, which transforms the Brownian motion into the Brownian motion || − , where is the local time at 0...