Central limit theorem for Markov processes with spectral gap in the Wasserstein metric

Tomasz Komorowski and Anna Walczuk

Stochastic Processes and their Applications, 2012, vol. 122, issue 5, 2155-2184

Abstract: Suppose that {Xt,t≥0} is a non-stationary Markov process, taking values in a Polish metric space E. We prove the law of large numbers and central limit theorem for an additive functional of the form ∫0Tψ(Xs)ds, provided that the dual transition probability semigroup, defined on measures, is strongly contractive in an appropriate Wasserstein metric. Function ψ is assumed to be Lipschitz on E.

Keywords: Central limit theorem; Markov process; Wasserstein metric (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2012.03.006

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