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Convergence rates in strong ergodicity for Markov processes

A coupling method is used to obtain the explicit upper and lower bounds for convergence rates in strong ergodicity for Markov processes. For one-dimensional diffusion processes and birth-death processes, these bounds are sharp in the sense that the upper one and the lower one only differ in a constant.
Year of publication:
2006
Authors: Mao, Yong-Hua
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 12, p. 1964-1976
Publisher: Elsevier
Keywords: Markov process Strong ergodicity Coupling Convergence rate Spectral gap
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008873097
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