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Exponential mixing property for absorbing Markov processes

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  • He, Guoman
  • Zhang, Hanjun
  • Yang, Gang

Abstract

In this paper, we study the speed of mixing of absorbing Markov processes with state space E, that is, the rate of the convergence in the following limits: limt→∞Ex[f(Xpt)g(Xt)|T>t]=∫Ef(y)β(dy)∫Eg(y)α(dy),limt→∞Ex[f(Xpt)g(Xqt)|T>t]=∫Ef(y)β(dy)∫Eg(y)β(dy),where f,g are bounded and measurable functions defined on E, x∈E, 0

Suggested Citation

  • He, Guoman & Zhang, Hanjun & Yang, Gang, 2021. "Exponential mixing property for absorbing Markov processes," Statistics & Probability Letters, Elsevier, vol. 179(C).
    • Handle: RePEc:eee:stapro:v:179:y:2021:i:c:s0167715221001693
    DOI: 10.1016/j.spl.2021.109207
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    References listed on IDEAS

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    1. He, Guoman & Zhang, Hanjun & Zhu, Yixia, 2019. "On the quasi-ergodic distribution of absorbing Markov processes," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 116-123.
    2. He, Guoman & Zhang, Hanjun, 2016. "On quasi-ergodic distribution for one-dimensional diffusions," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 175-180.
    3. Breyer, L. A. & Roberts, G. O., 1999. "A quasi-ergodic theorem for evanescent processes," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 177-186, December.
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