Polynomial deviation bounds for recurrent Harris processes having general state space

Details Polynomial deviation bounds for recurrent Harris processes having general state space Polynomial deviation bounds for recurrent Harris processes having general state space

2011-03-29

arxiv.org/abs/1103.5610v2

Mathematics

Probability

Scientific paper

Consider a strong Markov process in continuous time, taking values in some Polish state space. Recently, Douc, Fort and Guillin (2009) introduced verifiable conditions in terms of a supermartingale property implying an explicit control of modulated moments of hitting times. We show how this control can be translated into a control of polynomial moments of abstract regeneration times which are obtained by using the regeneration method of Nummelin, extended to the time-continuous context. As a consequence, if a $p-$th moment of the regeneration times exists, we obtain non asymptotic deviation bounds of the form $$P_{\nu}(|\frac1t\int_0^tf(X_s)ds-\mu(f)|\geq\ge)\leq K(p)\frac1{t^{p- 1}}\frac 1{\ge^{2(p-1)}}\|f\|_\infty^{2(p-1)}, p \geq 2. $$ Here, $f$ is a bounded function and $\mu$ is the invariant measure of the process. We give several examples, including elliptic stochastic differential equations and stochastic differential equations driven by a jump noise.

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