Related papers: Orlicz integrability of additive functionals of Ha…

In this paper we study the central limit theorem for additive functionals of stationary Markov chains with general state space by using a new idea involving conditioning with respect to both the past and future of the chain. Practically, we…

We provide comprehensive regularity results and optimal conditions for a general class of functionals involving Orlicz multi-phase of the type \begin{align} \label{abst:1} v\mapsto \int_{\Omega} F(x,v,Dv)\,dx, \end{align} exhibiting…

Given an ergodic dynamical system $(X, \mathcal{B}, \mu, T)$, we prove that for each function $f$ belonging to the Orlicz space $L(\log L)^2(\log \log L)(X, \mu)$, the ergodic averages \[ \frac{1}{\pi(N)} \sum_{p \in \mathbb{P}_N} f\big(T^p…

In this article we show how ideas, methods and results from optimal transportation can be used to study various aspects of the stationary measuresof Iterated Function Systems equipped with a probability distribution. We recover a classical…

Urbanik's theorem for a Poisson process on an infinite measure space (X, A, $\mu$) relates integrability of stochastic integrals to a particular Orlicz function space L$\Phi$ ($\mu$) on which the L1-norm of the Poisson process induces a…

In this paper, the Orlicz addition of measures is proposed and an interpretation of the $f$-divergence is provided based on a linear Orlicz addition of two measures. Fundamental inequalities, such as, a dual functional…

This paper introduces ergodic-risk criteria, which capture long-term cumulative risks associated with controlled Markov chains through probabilistic limit theorems--in contrast to existing methods that require assumptions of either finite…

For a Markov chain $Y$ with values in a Polish space, consider the entrance chain, obtained by sampling $Y$ at the moments when it enters a fixed set $A$ from its complement $A^c$. Similarly, consider the exit chain, obtained by sampling…

The aim of this note is to present an elementary proof of a variation of Harris' ergodic theorem of Markov chains. This theorem, dating back to the fifties essentially states that a Markov chain is uniquely ergodic if it admits a ``small''…

We prove central limit theorems, Berry-Esseen type theorems, almost sure invariance principles, large deviations and Livsic type regularity for partial sums of the form $S_n=\sum_{j=0}^{n-1}f_j(...,X_{j-1},X_j,X_{j+1},...)$, where $(X_j)$…

The aim of this note is to investigate the concentration properties of unbounded functions of geometrically ergodic Markov chains. We derive concentration properties of centered functions with respect to the square of the Lyapunov's…

We give computable bounds on the rate of convergence of the transition probabilities to the stationary distribution for a certain class of geometrically ergodic Markov chains. Our results are different from earlier estimates of Meyn and…

Using the renewal approach we prove Bernstein-like inequalities for additive functionals of geometrically ergodic Markov chains, thus obtaining counterparts of inequalities for sums of independent random variables. The coefficient in the…

Consider a Markov chain $\{X_n\}_{n\ge 0}$ with an ergodic probability measure $\pi$. Let $\Psi$ a function on the state space of the chain, with $\alpha$-tails with respect to $\pi$, $\alpha\in (0,2)$. We find sufficient conditions on the…

Whereas classical invariance principles for ergodic Markov chains address the situation in which the time horizon of observations is much larger than the mixing time, the quality of approximation is questionable when this is not the case…

We establish the bilateral exact reciprocal interrelations between a tail behavior of a measurable functions and its norm in the suitable Grand Lebesgue Space (GLS) as well as Orlicz one, builded over the set with infinite measure. We bring…

We introduce a novel concept of convergence for Markovian processes within Orlicz spaces, extending beyond the conventional approach associated with $L_p$ spaces. After showing that Markovian operators are contractive in Orlicz spaces, our…

We study point-wise estimates for the modified Riesz potential. We show that the point-wise estimates imply embeddings into Orlicz spaces from the L^1_p-space where the functions are defined in non-smooth domains. The Orlicz functions…

We establish Chernoff-type bounds for the largest eigenvalue of sums of Hermitian random matrices generated by a time-inhomogeneous Markov chain. Our primary regime assumes a compact state space and contractivity of each Markov kernel in…

We provide a general framework for computing upper bounds on mixing times of finite Markov chains when its minimal ideal is left zero. Our analysis is based on combining results by Brown and Diaconis with our previous work on stationary…