Subgeometric rates of convergence for Markov processes under subordination
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
Original language | English |
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Pages (from-to) | 162-181 |
Number of pages | 20 |
Journal | Advances in Applied Probability |
Volume | 49 |
Issue number | 1 |
Publication status | Published - 1 Mar 2017 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Bernstein function, invariant measure, Markov process, moment estimate, Rate of convergence, subordination