Explicit criteria for several types of ergodicity

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arXiv:math/0101227v1 [math.PR] 28 Jan 2001ToappearinChin.J.Appl.Prob.Stat.(2001)EXPLICITCRITERIAFORSEVERALTYPESOFERGODICITY

Mu-FaChen(BeijingNormalUniversity)November7,2000

Abstract.Theexplicitcriteria,collectedinTables5.1and5.2,forseveraltypesofergodicityofone-dimensionaldiffusionsorbirth-deathprocesseshavebeenfoundoutrecentlyinasurprisinglyshortperiod.Oneofthecriteriaisforexponentialergodicityofbirth-deathprocesses.ThisproblemhasbeenopenedforalongtimeinthestudyofMarkovchains.Thesurveyarticleexplainsindetailstheideawhichleadstosolvetheproblemjustmentioned.Itisinterestingthattheproblemisconnectedwithseveralbranchesofmathematics.Someopenproblemsforthefurtherstudyarealsoproposed.

Letusbeginwiththepaperbyrecallingthethreetraditionaltypesofergodicity.1.Threetraditionaltypesofergodicity.LetQ=(qij)bearegularQ-matrixonacountablesetE={i,j,k,···}.Thatis,qij≥0foralli=j,qi:=−qii=󰀂j=iqij<∞foralli∈EandQdeterminesuniquelyatransitionprobabilitymatrixP(t)=(pij(t))(whichisalsocalledaQ-processoraMarkovchain).Denotebyπ=(πi)astationarydistributionofP(t):πP(t)=πforallt≥0.Fromnowon,assumethattheQ-matrixisirreducibleandhencethestationarydistributionπisunique.Then,thethreetypesofergodicityaredefinedrespectivelyasfollows.

Ordinaryergodicity:limt→∞|pij(t)−πj|=0(1.1)Exponentialergodicity:limt→∞eˆαt|pij(t)−πj|=0(1.2)Strongergodicity:limt→∞supi|pij(t)−πj|=0

⇐⇒limt→∞eˆβtsupi|pij(t)−πj|=0,(1.3)

whereˆαandˆβare(thelargest)positiveconstantsandi,jvariesoverwholeE.ThedefinitionsaremeaningfulforgeneralMarkovprocessesoncethepointwiseconvergenceisreplacedbytheconvergenceintotalvariationnorm.Thethreetypesofergodicitywerestudiedinagreatdealduring1953–1981.Especially,itwasprovedthatstrongergodicity=⇒exponentialergodicity=⇒ordinaryergodicity.RefertoAnderson(1991),Chen(1992,Chapter4)andMeynandTweedie(1993)fordetailsandrelatedreferences.ThestudyisquitecompleteinthesensethatwehavethefollowingcriteriawhicharedescribedbytheQ-matrixplusatestsequence(yi)only.

Theorem1.1(Criteria).LetH=∅beanarbitrarybutfixedfinitesubsetofE.Thenthefollowingconclusionshold.

(1)TheprocessP(t)isergodiciffthesystemofinequalities󰀅󰀂

jqijyj≤−1,i/∈H󰀂i∈H󰀂j=iqijyj<∞(1.4)2MU-FACHENhasanonnegativefinitesolution(yi).(2)TheprocessP(t)isexponentiallyergodiciffforsomeλ>0withλofinequalities󰀅󰀂

jqijyj≤−λyi−1,i/∈H󰀂i∈H󰀂j=iqijyj<∞(1.5)

hasanonnegativefinitesolution(yi).(3)TheprocessP(t)isstronglyergodiciffthesystem(1.4)ofinequalitieshasaboundednonneg-ativesolution(yi).

Theprobabilisticmeaningofthecriteriareadsrespectivelyasfollows:maxi∈HEiσH<∞,maxi∈HEieλσH<∞andsupi∈EEiσH<∞,

whereσH=inf{t≥thefirstjumpingtime:Xt∈H}andλisthesameasin(1.5).Thecriteriaarenotcompletelyexplicitsincetheydependonthetestsequences(yi)andingeneralitisoftennon-trivialtosolveasystemofinfiniteinequalities.Hence,oneexpectstofindoutsomeexplicitcriteriaforsomespecificprocesses.Clearly,forthis,thefirstchoiceshouldbethebirth-deathprocesses.Recallthatforabirth-deathprocesswithstatespaceE=Z+={0,1,2,···},itsQ-matrixhastheform:qi,i+1=bi>0foralli≥0,qi,i−1=ai>0foralli≥1andqij=0forallotheri=j.Alongthisline,itwasprovedbyTweedie(1981)(seealsoAnderson(1991)orChen(1992))that

S:=󰀊n≥1µn

󰀊

j≤n−11EXPLICITCRITERIAFORSEVERALTYPESOFERGODICITY3L2-exponentialconvergencegivenbelow.Assumingthatµ:=󰀂iµi<∞andthensettingπi=µi/µ,wehaveL2-spaceL2(π)withnorm󰀔·󰀔.Then,theconvergencemeansthat

󰀔P(t)f−π(f)󰀔≤󰀔f−π(f)󰀔≤e−λ1t(1.6)forallt≥0,whereπ(f)=󰀄fdπandλ1isthefirstnon-trivialeigenvalueof(−Q)(cf.Chen(1992,Chapter9)).Theestimationofλ1forbirth-deathprocesseswasstudiedbySullivan(1984),Liggett(1989)andLandim,SethuramanandVaradhan(1996)(seealsoKipnis&Lamdin(1999)).Itwasusedasacomparisontooltohandletheconvergencerateforsomeinteractingparticlesystems,whichareinfinite-dimensionalMarkovprocesses.Thepresentauthorcametothistopicbycomparingλ1withˆα,whichisthefirstresultin(2.1).Thistransfersallknownresultsaboutˆαtoλ1.Then,byusingthecouplingmethods,theauthorobtainedavariationalformulagiveninthesecondlineof(2.1).

Theorem2.1.

ˆα=λ1[Chen(1991)]=supw∈Winfi≥0Ii(w)−1[Chen(1996)](2.1)

whereW={w:wi↑↑,π(w)≥0}andIi(w)=1

f′(x)󰀁∞

xf(u)eC(u)

ZeC(x)