Geodesic
Quasi-ergodicity for absorbing Markov processes via deviation inequality
Chen, Jinwen1 ; Jian, Siqi2
1 Department of Mathematics,Tsinghua University, Beijing, P. R. China.
2 School of Statistics, Capital University of Economics and Business, Beijing, P. R. China
ESAIM: Probability and Statistics, Tome 21 (2017), pp. 159-167

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In this note, taking the killed Brownian motion as an illustrative model, we derive a conditional deviation inequality for ∫ 0 t V(X s )ds for certain (unbounded) functions V. Then we apply it to prove a quasi L 1 -ergodic theorem for the killed process.

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DOI : 10.1051/ps/2017009
Classification : 60J65, 60F99, 28Dxx
Keywords: Absorbing Markov process, deviation inequality, quasi-ergodicity

Chen, Jinwen 1 ; Jian, Siqi 2

1 Department of Mathematics,Tsinghua University, Beijing, P. R. China.
2 School of Statistics, Capital University of Economics and Business, Beijing, P. R. China 
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     author = {Chen, Jinwen and Jian, Siqi},
     title = {Quasi-ergodicity for absorbing {Markov} processes via deviation inequality},
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     publisher = {EDP-Sciences},
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Chen, Jinwen; Jian, Siqi. Quasi-ergodicity for absorbing Markov processes via deviation inequality. ESAIM: Probability and Statistics, Tome 21 (2017), pp. 159-167. doi: 10.1051/ps/2017009

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