Related papers: Ergodic convergence rates for time-changed symmetr…
In the present paper we investigate the $L_1$-weak ergodicity of nonhomogeneous discrete Markov processes with general state spaces. Note that the $L_1$-weak ergodicity is weaker than well-known weak ergodicity. We provide a necessary and…
This paper investigates the optimal ergodic sublinear convergence rate of the relaxed proximal point algorithm for solving monotone variational inequality problems. The exact worst case convergence rate is computed using the performance…
In this paper we find nonasymptotic exponential upper bounds for the deviation in the ergodic theorem for families of homogeneous Markov processes. We find some sufficient conditions for geometric ergodicity uniformly over a parametric…
This paper is concerned with ergodic properties of inhomogeneous Markov processes. Since the transition probabilities depend on initial times, the existing methods to obtain invariant measures for homogeneous Markov processes are not…
This work studies the averaging principle for a fully coupled two time-scale system, whose slow process is a diffusion process and fast process is a purely jumping process on an infinitely countable state space. The ergodicity of the fast…
Convergence rate analyses of random walk Metropolis-Hastings Markov chains on general state spaces have largely focused on establishing sufficient conditions for geometric ergodicity or on analysis of mixing times. Geometric ergodicity is a…
In this paper, we give quantitative bounds on the $f$-total variation distance from convergence of an Harris recurrent Markov chain on an arbitrary under drift and minorisation conditions implying ergodicity at a sub-geometric rate. These…
For $\mathbb{R}^d$-ergodic means constructed over a strictly convex set, a spectral criterion for homogeneous rates of convergence is obtained. From Hertz's result on the asymptotics of the Fourier transform of the indicator of a strictly…
We study the semiclassical behaviour of eigenfunctions of quantum systems with ergodic classical limit. By the quantum ergodicity theorem almost all of these eigenfunctions become equidistributed in a weak sense. We give a simple derivation…
Rank one transformations serve as a source of examples in ergodic theory, showing variety of algebraic, asymptotic and spectral properties of dynamical systems. The properties of a rank one transformation are closely related to the weak…
In this paper we discuss how the notion of subgeometric ergodicity in Markov chain theory can be exploited to study stationarity and ergodicity of nonlinear time series models. Subgeometric ergodicity means that the transition probability…
In this brief paper we find computable exponential convergence rates for a large class of stochastically ordered Markov processes. We extend the result of Lund, Meyn, and Tweedie (1996), who found exponential convergence rates for…
In this paper we investigate functions that are harmonic with respect to the non-symmetric strictly $\alpha$-stable L\'evy processes on an open set $D \in \mathbb{R}^d$. We obtain the explicit formula for their boundary decay rate at parts…
In a recent result by the authors (ref. [1]) it was proved that solutions of the self-similar fragmentation equation converge to equilibrium exponentially fast. This was done by showing a spectral gap in weighted $L^2$ spaces of the…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
We establish a rate of convergence of the two scale expansion (in the sense of homogenization theory) of the solution to a highly oscillatory elliptic partial differential equation with random coefficients that are a perturbation of…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
Based on the explicit coupling property, the ergodicity and the exponential ergodicity of L\'{e}vy driven Ornstein-Uhlenbeck processes are established.
Long-time limit of one-dimensional L\'{e}vy processes weighted and normalized with respect to the exponential functional of two-point local times are studied. The limit processes may vary according to the choice of random clocks.
The behavior of lattice models in which time reversibility is enforced at the level of trajectories (microscopic reversibility) is studied analytically. Conditions for ergodicity breaking are explored, and a few examples of systems…