In this note, taking the killed Brownian motion as an illustrative model, we derive a conditional deviation inequality for for certain (unbounded) functions . Then we apply it to prove a quasi -ergodic theorem for the killed process.
Accepté le :
DOI : 10.1051/ps/2017009
Mots clés : Absorbing Markov process, deviation inequality, quasi-ergodicity
@article{PS_2017__21__159_0, author = {Chen, Jinwen and Jian, Siqi}, title = {Quasi-ergodicity for absorbing {Markov} processes via deviation inequality}, journal = {ESAIM: Probability and Statistics}, pages = {159--167}, publisher = {EDP-Sciences}, volume = {21}, year = {2017}, doi = {10.1051/ps/2017009}, mrnumber = {3716124}, zbl = {1393.60086}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ps/2017009/} }
TY - JOUR AU - Chen, Jinwen AU - Jian, Siqi TI - Quasi-ergodicity for absorbing Markov processes via deviation inequality JO - ESAIM: Probability and Statistics PY - 2017 SP - 159 EP - 167 VL - 21 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2017009/ DO - 10.1051/ps/2017009 LA - en ID - PS_2017__21__159_0 ER -
%0 Journal Article %A Chen, Jinwen %A Jian, Siqi %T Quasi-ergodicity for absorbing Markov processes via deviation inequality %J ESAIM: Probability and Statistics %D 2017 %P 159-167 %V 21 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ps/2017009/ %R 10.1051/ps/2017009 %G en %F PS_2017__21__159_0
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. http://www.numdam.org/articles/10.1051/ps/2017009/
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