Equivalences of Geometric Ergodicity of Markov Chains

Marco A. Gallegos-Herrada, David Ledvinka and Jeffrey S. Rosenthal ()
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Marco A. Gallegos-Herrada: University of Toronto
David Ledvinka: University of Toronto
Jeffrey S. Rosenthal: University of Toronto

Journal of Theoretical Probability, 2024, vol. 37, issue 2, 1230-1256

Abstract: Abstract This paper gathers together different conditions which are all equivalent to geometric ergodicity of time-homogeneous Markov chains on general state spaces. A total of 34 different conditions are presented (27 for general chains plus 7 for reversible chains), some old and some new, in terms of such notions as convergence bounds, drift conditions, spectral properties, etc., with different assumptions about the distance metric used, finiteness of function moments, initial distribution, uniformity of bounds, and more. Proofs of the connections between different conditions are provided, somewhat self-contained but using some results from the literature where appropriate.

Date: 2024
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DOI: 10.1007/s10959-023-01240-1

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