English

Rates of Convergence to Stationarity for Multidimensional RBM

Probability 2016-08-15 v3

Abstract

We provide the first rate of convergence analysis for RBM as the dimension grows under natural uniformity conditions. In particular, if the underlying routing matrix is uniformly contractive, uniform stability of the drift vector holds, and the variances of the underlying Brownian Motion (BM) are bounded, then we show that the RBM converges exponentially fast to stationarity with a relaxation time of order O(d4log(d)2)O(d^4\log(d)^2) as dd\to\infty.

Keywords

Cite

@article{arxiv.1601.04111,
  title  = {Rates of Convergence to Stationarity for Multidimensional RBM},
  author = {Jose Blanchet and Xinyun Chen},
  journal= {arXiv preprint arXiv:1601.04111},
  year   = {2016}
}