Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156954 | Stochastic Processes and their Applications | 2009 | 27 Pages |
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)
Authors
Randal Douc, Gersende Fort, Arnaud Guillin,