Subgeometric rates of convergence for a class of continuous-time Markov process


Autoria(s): Hou, ZT; Liu, YY; Zhang, HJ
Contribuinte(s)

C.C. Heyde

Data(s)

01/01/2005

Resumo

Let (Phi(t))(t is an element of R+) be a Harris ergodic continuous-time Markov process on a general state space, with invariant probability measure pi. We investigate the rates of convergence of the transition function P-t(x, (.)) to pi; specifically, we find conditions under which r(t) vertical bar vertical bar P-t (x, (.)) - pi vertical bar vertical bar -> 0 as t -> infinity, for suitable subgeometric rate functions r(t), where vertical bar vertical bar - vertical bar vertical bar denotes the usual total variation norm for a signed measure. We derive sufficient conditions for the convergence to hold, in terms of the existence of suitable points on which the first hitting time moments are bounded. In particular, for stochastically ordered Markov processes, explicit bounds on subgeometric rates of convergence are obtained. These results are illustrated in several examples.

Identificador

http://espace.library.uq.edu.au/view/UQ:76792

Idioma(s)

eng

Publicador

Applied Probability Trust

Palavras-Chave #Statistics & Probability #Continuous-time Markov Process #Queueing Model #Birth-death Process #Ergodicity #Subgeometric Convergence #Queue #Chains #Vacations #Stability #Moments #Models #C1 #230202 Stochastic Analysis and Modelling #780101 Mathematical sciences
Tipo

Journal Article