Article ID Journal Published Year Pages File Type
1156954 Stochastic Processes and their Applications 2009 27 Pages PDF
Abstract

We provide a condition in terms of a supermartingale property for a functional of the Markov process, which implies (a) ff-ergodicity of strong Markov processes at a subgeometric rate, and (b) a moderate deviation principle for an integral (bounded) functional. An equivalent condition in terms of a drift inequality on the extended generator is also given. Results related to (f,r)(f,r)-regularity of the process, of some skeleton chains and of the resolvent chain are also derived. Applications to specific processes are considered, including elliptic stochastic differential equations, Langevin diffusions, hypoelliptic stochastic damping Hamiltonian systems and storage models.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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