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Coefficients of ergodicity for stochastically monotone Markov chains

Part of: Markov processes

Published online by Cambridge University Press:  14 July 2016

G. Ch. Pflug  and
W. Schachermayer
G. Ch. Pflug*
Affiliation:
University of Vienna
W. Schachermayer*
Affiliation:
University of Vienna
*
∗ Postal address: Universität Wien, Institut für Statistik und Informatik, Universitätstrasse 5/9, A-1010 Wien, Austria.
∗ Postal address: Universität Wien, Institut für Statistik und Informatik, Universitätstrasse 5/9, A-1010 Wien, Austria.
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Abstract

In this paper we show that to each distance d defined on the finite state space S of a strongly ergodic Markov chain there corresponds a coefficient ρd of ergodicity based on the Wasserstein metric. For a class of stochastically monotone transition matrices P, the infimum over all such coefficients is given by the spectral radius of P – R, where R = limk Pk and is attained. This result has a probabilistic interpretation of a control of the speed of convergence of by the metric d and is linked to the second eigenvalue of P.

Keywords

ERGODIC COEFFICIENTSWASSERSTEIN METRICBIRTH AND DEATH MATRIX

MSC classification

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 29 , Issue 4 , December 1992 , pp. 850 - 860
Copyright
Copyright © Applied Probability Trust 1992 

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