Published April 30, 2015
| Version v1
Journal article
The spectral method and ergodic theorems for general Markov chains
Creators
- 1. Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk (Russian Federation)
Description
We study the ergodic properties of Markov chains with an arbitrary state space and prove a geometric ergodic theorem. The method of the proof is new: it may be described as an operator method. Our main result is an ergodic theorem for Harris-Markov chains in the case when the return time to some fixed set has finite expectation. Our conditions for the transition function are more general than those used by Athreya-Ney and Nummelin. Unlike them, we impose restrictions not on the original transition function but on the transition function of an embedded Markov chain constructed from the return times to the fixed set mentioned above. The proof uses the spectral theory of linear operators on a Banach space
Availability note (English)
Available from http://dx.doi.org/10.1070/IM2015v079n02ABEH002744Additional details
Identifiers
Publishing Information
- Journal Title
- Izvestiya. Mathematics
- Journal Volume
- 79
- Journal Issue
- 2
- Journal Page Range
- p. 311-345
- ISSN
- 1064-5632
INIS
- Country of Publication
- United Kingdom
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 47118181
- Subject category
- S97: MATHEMATICAL METHODS AND COMPUTING;
- Descriptors DEI
- BANACH SPACE; ERGODIC HYPOTHESIS; GEOMETRY; MARKOV PROCESS; MATHEMATICAL OPERATORS; SPECTRAL FUNCTIONS
- Descriptors DEC
- FUNCTIONS; HYPOTHESIS; MATHEMATICAL SPACE; MATHEMATICS; SPACE; STOCHASTIC PROCESSES