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Polynomial deviation bounds for recurrent Harris processeshaving general state space

Published online by Cambridge University Press:  08 February 2013

Eva Löcherbach  and
Dasha Loukianova
Eva Löcherbach
Affiliation:
CNRS UMR 8088, Département de Mathématiques, Université de Cergy-Pontoise, 95000 Cergy-Pontoise, France. [email protected]
Dasha Loukianova
Affiliation:
Département de Mathématiques, Université d’Evry-Val d’Essonne, Bd François Mitterrand, 91025 Evry Cedex, France; [email protected]
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Abstract

Consider a strong Markov process in continuous time, taking values in some Polish statespace. Recently, Douc et al. [Stoc. Proc. Appl.119, (2009) 897–923] introduced verifiable conditions in terms ofa supermartingale property implying an explicit control of modulated moments of hittingtimes. We show how this control can be translated into a control of polynomial moments ofabstract regeneration times which are obtained by using the regeneration method ofNummelin, extended to the time-continuous context. As a consequence, if ap-th moment of the regeneration times exists, we obtain non asymptoticdeviation bounds of the form

\begin{equation*} P_{\nu} \left(\left|\frac1t\int_0^tf(X_s){\rm d}s-\mu(f)\right|\geq\ge\right)\leqK(p)\frac1{t^{p- 1}}\frac 1{\ge^{2(p-1)}}\|f\|_\infty^{2(p-1)} ,\quad p \geq 2.\end{equation*}Pν1t∫0tf(Xs)ds−μ(f)≥ε≤K(p)1tp−11ε2(p−1)∥f∥∞2(p−1), p≥2.
Here, f is a bounded function andμ is the invariant measure of the process. We give several examples,including elliptic stochastic differential equations and stochastic differential equationsdriven by a jump noise.

Keywords

Harris recurrencepolynomial ergodicityNummelin splittingcontinuous time Markov processesdrift conditionmodulated moment
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 17 , 2013 , pp. 195 - 218
Copyright
© EDP Sciences, SMAI, 2013

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