Subgeometric rates of convergence for Markov processes under subordination

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

We are interested in the rate of convergence of a subordinate Markov process to its invariant measure. Given a subordinator and the corresponding Bernstein function (Laplace exponent), we characterize the convergence rate of the subordinate Markov process; the key ingredients are the rate of convergence of the original process and the (inverse of the) Bernstein function. At a technical level, the crucial point is to bound three types of moment (subexponential, algebraic, and logarithmic) for subordinators as time t tends to ∞. We also discuss some concrete models and we show that subordination can dramatically change the speed of convergence to equilibrium.

Details

OriginalspracheEnglisch
Seiten (von - bis)162-181
Seitenumfang20
FachzeitschriftAdvances in Applied Probability
Jahrgang49
Ausgabenummer1
PublikationsstatusVeröffentlicht - 1 März 2017
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Bernstein function, invariant measure, Markov process, moment estimate, Rate of convergence, subordination