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 |
|---|---|
| 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