State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains
We consider a form of state-dependent drift condition for a general Markov chain, whereby the chain subsampled at some deterministic time satisfies a geometric Foster-Lyapunov condition. We present sufficient criteria for such a drift condition to exist, and use these to partially answer a question posed in Connor and Kendall (2007) [2] concerning the existence of so-called 'tame' Markov chains. Furthermore, we show that our 'subsampled drift condition' implies the existence of finite moments for the return time to a small set.
Year of publication: |
2009
|
---|---|
Authors: | Connor, S.B. ; Fort, G. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 12, p. 4176-4193
|
Publisher: |
Elsevier |
Keywords: | Markov chains Foster-Lyapunov functions State-dependent drift conditions Regularity Tame chains Networks of queues |
Saved in:
Saved in favorites
Similar items by person
-
Sviluppo ed effetti del credito nell'agricoltura italiana
Fort, G., (1956)
-
Polynomial ergodicity of Markov transition kernels
Fort, G., (2003)
-
A simple variance inequality for U-statistics of a Markov chain with applications
Fort, G., (2012)
- More ...