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Quantitative Bounds for Convergence Rates of Continuous Time Markov Processes


 
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1. Title Title of document Quantitative Bounds for Convergence Rates of Continuous Time Markov Processes
 
2. Creator Author's name, affiliation, country Gareth O. Roberts; University of Cambridge
 
2. Creator Author's name, affiliation, country Jeffrey S. Rosenthal; University of Toronto
 
3. Subject Discipline(s) Mathematics
 
3. Subject Keyword(s) Markov process, rates of convergence, coupling, shift-coupling, minorization condition, drift condition.
 
3. Subject Subject classification 60J25.
 
4. Description Abstract We develop quantitative bounds on rates of convergence for continuous-time Markov processes on general state spaces. Our methods involve coupling and shift-coupling, and make use of minorization and drift conditions. In particular, we use auxiliary coupling to establish the existence of small (or pseudo-small) sets. We apply our method to some diffusion examples. We are motivated by interest in the use of Langevin diffusions for Monte Carlo simulation.
 
5. Publisher Organizing agency, location
 
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7. Date (YYYY-MM-DD) 1996-05-28
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/9
 
10. Identifier Digital Object Identifier 10.1214/EJP.v1-9
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 1
 
12. Language English=en en
 
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