相关论文: Geometric ergodicity for families of homogeneous M…

Consider a non-symmetric generalized diffusion $X(\cdot)$ in ${\bbR}^d$ determined by the differential operator $A(\msx)=-\sum_{ij} \partial_ia_{ij}(\msx)\partial_j +\sum_i b_i(\msx)\partial_i$. In this paper the diffusion process is…

Approximate Bayesian computation has emerged as a standard computational tool when dealing with the increasingly common scenario of completely intractable likelihood functions in Bayesian inference. We show that many common Markov chain…

We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model.

For general, almost surely absorbed Markov processes, we obtain necessary and sufficient conditions for exponential convergence to a unique quasi-stationary distribution in the total variation norm. These conditions also ensure the…

For general (1+1)-affine Markov processes, we prove the ergodicity and exponential ergodicity in total variation distances. Our methods follow the arguments of ergodic properties for L\'{e}vy-driven OU-processes and a coupling of…

Consider longitudinal networks whose edges turn on and off according to a discrete-time Markov chain with exponential-family transition probabilities. We characterize when their joint distributions are also exponential families with the…

In order to give quantitative estimates for approximating the ergodic limit, we investigate probabilistic limit behaviors of time-averaging estimators of numerical discretizations for a class of time-homogeneous Markov processes, by…

We study deviation of ergodic averages for dynamical systems given by self-similar tilings on the plane and in higher dimensions. The main object of our paper is a special family of finitely-additive measures for our systems. An asymptotic…

We prove explicit, i.e. non-asymptotic, error bounds for Markov chain Monte Carlo methods. The problem is to compute the expectation of a function f with respect to a measure {\pi}. Different convergence properties of Markov chains imply…

We study inhomogeneous continuous-time weakly ergodic Markov chains with a finite state space. We introduce the notion of a Markov chain with the regular structure of an infinitesimal matrix and study the sharp upper bounds on the rate of…

We study the problem of parameter estimation for a univariate discretely observed ergodic diffusion process given as a solution to a stochastic differential equation. The estimation procedure we propose consists of two steps. In the first…

In earlier papers Poisson equation in the whole space was studied for so called ergodic generators $L$ corresponding to homogeneous Markov diffusions ($X_t, \, t\ge 0$) in $\mathbb R^d$. Solving this equation is one of the main tools for…

In this paper we consider multivariate time series obtained as solution to multidimensional nonlinear stochastic difference equations whose coefficients are allowed to be locally degenerate and to present discontinuities. We provide simple…

This paper generalizes a part of the theory of $Z$-estimation which has been developed mainly in the context of modern empirical processes to the case of stochastic processes, typically, semimartingales. We present a general theorem to…

We present recent results about the asymptotic behavior of ergodic products of isometries of a metric space X. If we assume that the displacement is integrable, then either there is a sublinear diffusion or there is, for almost every…

We study the limit behaviour of upper and lower bounds on expected time averages in imprecise Markov chains; a generalised type of Markov chain where the local dynamics, traditionally characterised by transition probabilities, are now…

This work discusses the homogenization analysis for diffusion processes on scale-free metric graphs, using weak variational formulations. The oscillations of the diffusion coefficient along the edges of a metric graph induce internal…

We prove an ergodic theorem for Markov chains indexed by the Ulam-Harris-Neveu tree over large subsets with arbitrary shape under two assumptions: with high probability, two vertices in the large subset are far from each other and have…

We formulate a criterion for the existence and uniqueness of an invariant measure for a Markov process taking values in a Polish phase space. In addition, weak-$^*$ ergodicity, that is, the weak convergence of the ergodic averages of the…

We analyze the asymptotic behavior for a system of fully nonlinear parabolic and elliptic quasi variational inequalities. These equations are related to robust switching control problems introduced in [3]. We prove that, as time horizon…