Central limit theorem for Markov processes with spectral gap in the Wasserstein metric

Suppose that {Xt,t≥0} is a non-stationary Markov process, taking values in a Polish metric space E. We prove the law of large numbers and central limit theorem for an additive functional of the form ∫0Tψ(Xs)ds, provided that the dual transition probability semigroup, defined on measures, is strongly contractive in an appropriate Wasserstein metric. Function ψ is assumed to be Lipschitz on E.

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Year of publication:	2012
Authors:	Komorowski, Tomasz ; Walczuk, Anna
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 122.2012, 5, p. 2155-2184
Publisher:	Elsevier
Subject:	Central limit theorem \| Markov process \| Wasserstein metric

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065048