Polynomial bounds in the Ergodic Theorem for positive recurrent one-dimensional diffusions and integrability of hitting times
Probability
2010-01-25 v2
Abstract
Let be a one dimensional positive recurrent diffusion with initial distribution and invariant probability . Suppose that for some , such that and , where is the hitting time of . For such a diffusion, we derive non asymptotic deviation bounds of the form Here bounded or bounded and compactly supported and when is bounded and when is bounded and compactly supported. We also give, under some conditions on the coefficients of , a polynomial control of from above and below. This control is based on a generalized Kac's formula (see theorem \ref{thm:mainKac}) for the moments of a differentiable function .
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}
}