Variational principles for asymptotic variance of general Markov processes
Probability
2021-06-02 v1
Abstract
A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and non-reversible diffusion processes.
Cite
@article{arxiv.2106.00324,
title = {Variational principles for asymptotic variance of general Markov processes},
author = {Lu-Jing Huang and Yong-Hua Mao and Tao Wang},
journal= {arXiv preprint arXiv:2106.00324},
year = {2021}
}
Comments
14 pages