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/IM2015v079n02ABEH002744

Additional details

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