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期刊论文

ESTIMATION OF SPECTRAL GAP FOR MARKOV CHAINS

陈木法Mu-Fa Chen

Acta Math. Sin. New Ser. 12: 4 (1996), pp. 337-360,-0001,():

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摘要/描述

The study of the convergent rate (spectral gap) in the L2-sense is motivated from several differenti elds: probability, statistics, mathematical physics, computer science and so on and it is now an active research topic. Based on a new approach (the coupling technique) introduced in [7] for the estimate of the convergent rate and as a continuation of [4], [5], [7] [9], [23] and [24], this paper studies the estimate of the rate for time-continuous Markov chains. Two variational formulas for the rate are presented here for the first time for birth-death processes. For diffusions, similar results are presented in an accompany paper [10]. The new formulas enable us to recover or improve the main known results. The connection between the sharp estimate and the corresponding eigenfunction is explored and illustrated by various examples. A previous result on optimal Markovian couplings [4] is also extended in the paper.

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