Convergence rates in strong ergodicity for Markov processes

Yong-Hua Mao

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 1964-1976

Abstract: A coupling method is used to obtain the explicit upper and lower bounds for convergence rates in strong ergodicity for Markov processes. For one-dimensional diffusion processes and birth-death processes, these bounds are sharp in the sense that the upper one and the lower one only differ in a constant.

Keywords: Markov; process; Strong; ergodicity; Coupling; Convergence; rate; Spectral; gap (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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