English

Polynomial bounds in the Ergodic Theorem for positive recurrent one-dimensional diffusions and integrability of hitting times

Probability 2010-01-25 v2

Abstract

Let XX be a one dimensional positive recurrent diffusion with initial distribution ν\nu and invariant probability μ\mu. Suppose that for some p>1p> 1, aR\exists a\in\R such that xR,\ExTap<\forall x\in\R, \E_x T_a^p<\infty and \EνTap/2<\E_\nu T_a^{p/2}<\infty, where TaT_a is the hitting time of aa. For such a diffusion, we derive non asymptotic deviation bounds of the form ν(1t0tf(Xs)dsμ(f))K(p)1tp/21pA(f)p.\P_{\nu} (|\frac1t\int_0^tf(X_s)ds-\mu(f)|\geq\ge)\leq K(p)\frac1{t^{p/2}}\frac 1{\ge^p}A(f)^p. Here ff bounded or bounded and compactly supported and A(f)=fA(f)=\|f\|_{\infty} when ff is bounded and A(f)=μ(f)A(f)=\mu(|f|) when ff is bounded and compactly supported. We also give, under some conditions on the coefficients of XX, a polynomial control of \ExTap\E_xT_a^p from above and below. This control is based on a generalized Kac's formula (see theorem \ref{thm:mainKac}) for the moments \Exf(Ta)\E_x f(T_a) of a differentiable function ff.

Keywords

Cite

@article{arxiv.0903.2405,
  title  = {Polynomial bounds in the Ergodic Theorem for positive recurrent one-dimensional diffusions and integrability of hitting times},
  author = {Dasha Loukianova and Oleg Loukianov and Eva Loecherbach},
  journal= {arXiv preprint arXiv:0903.2405},
  year   = {2010}
}