Ergodic Theory of Markov and Related Processes

Last update: 13 Dec 2024 20:03
First version: 20 August 2007

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Yet Another Inadequate Placeholder of references.

See also:
• Chains with Complete Connections
• Deviation Inequalities
• Ergodic Theory
• Interacting Particle Systems
• Markov and Hidden Markov Models
• Mixing
• Monte Carlo
• Non-Equilibrium Statistical Mechanics

Recommended, big picture:
• J. Doob, Stochastic Processes
• Shaul R. Foguel, The Ergodic Theory of Markov Processes
• Andrzej Lasota and Michael C. Mackey, Chaos, Fractals, and Noise: Stochastic Aspects of Dynamics
• Murray Rosenblatt, Markov Processes: Structure and Asymptotic Behavior

Recommended, clkose-ups:
• Pavel Chigansky and Ramon van Handel, "A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains", Annals of Applied Probability 20 (2010): 2318--2345
• Marius Iosifescu and Serban Grigorescu, Dependence with Complete Connections and Its Applications [Review: Memories Fading to Infinity]
• Leonid (Aryeh) Kontorovich [I really don't know why Leo bothered to take my class]
  • "Obtaining Measure Concentration from Markov Contraction", arxiv:0711.0987
  • "Measure Concentration of Hidden Markov Processes", math.PR/0608064
• Aryeh Kontorovich and Anthony Brockwell, "A Strong Law of Large Numbers for Strongly Mixing Processes", arxiv:0807.4665
• Aryeh Kontorovich and Roi Weiss, "Uniform Chernoff and Dvoretzky-Kiefer-Wolfowitz-type inequalities for Markov chains and related processes", arxiv:1207.4678
• Ioannis Kontoyiannis, L. A. Lastras-Montano and S. P. Meyn, "Relative Entropy and Exponential Deviation Bounds for General Markov Chains", ISIT 2005 [PDF reprint via Prof. Meyn]
• Mathieu Sinn, Bei Chen, "Central Limit Theorems for Conditional Markov Chains", AIStats 2013

To read:
• Radoslaw Adamczak, Witold Bednorz, "Exponential Concentration Inequalities for Additive Functionals of Markov Chains", arxiv:1201.3569
• Peter H. Baxendale, "Renewal theory and computable convergence rates for geometrically ergodic Markov chains", Annals of Applied Probability 15 (2005): 700--738 = math.PR/0503515
• Itai Benjamini, Krzysztof Burdzy, Zhen-Qing Chen, "Shy couplings", math.PR/0509458 ["We say that a coupling is ``shy'' if the processes never come closer than some (random) strictly positive distance from each other."]
• Gordon Blower and Francois Bolley, "Concentration inequalities on product spaces with applications to Markov processes", math.PR/0505536
• Anne-Severine Boudou, Pietro Caputo, Paolo Dai Pra and Gustavo Posta, "Spectral gap estimates for interacting particle systems via a Bakry & Emery-type approach", math.PR/0505533 ["We develop a general technique, based on the Bakry-Emery approach, to estimate spectral gaps of a class of Markov operators. We apply this technique to various interacting particle systems."]
• Anton Bovier, Michael Eckhoff, Veronique Gayrard and Markus Klein, "Metastability and Small Eigenvalues in Markov Chains," cond-mat/0007343
• Patrick Cattiaux, Djalil Chafai, Arnaud Guillin, "Central limit theorems for additive functionals of ergodic Markov diffusions processes", arxiv:1104.2198
• Patrick Cattiaux and Arnaud Guillin, "Trends to Equilibrium in Total Variation Distance", math.PR/0703451
• Mu-Fa Chen
  • Eigenvalues, Inequalities, and Ergodic Theory
  • "Ergodic convergence rates of Markov processes--eigenvalues, inequalities and ergodic theory", math.PR/0304367
• Xia Chen, Limit Theorems for Functionals of Ergodic Markov Chains with General State Space
• Robert Cogburn, "The central limit theorem for Markov processes", Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics and Probability, Vol. 2, pp. 485-512
• G. B. DiMasi and L. Stettner, "Ergodicity of hidden Markov models", Mathematics of Control, Signals, and Systems 17 (2005): 269--296
• R. Douc, E. Moulines, and Jeffrey S. Rosenthal, "Quantitative bounds on convergence of time-inhomogeneous Markov chains", Annals of Applied Probability 14 (2004): 1643--1665 = math.PR/0403532
• Cyrille Dubarry and Sylvain Le Corff, "Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models", Bernoulli 19 (2013): 2222--2249
• Déborah Ferré, Loïc Hervé, James Ledoux, "Limit theorems for stationary Markov processes with L2-spectral gap", Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 48 (2012): 396--423, arxiv:1201.4579
• Steven R. Finch, "Another Look at AR(1)", arxiv:0710.5419 [Central limit theorems and exponential growth]
• Nicolas Fournier, Arnaud Guillin, "On the rate of convergence in Wasserstein distance of the empirical measure", arxiv:1312.2128
• Leonid Galtchouk, Serguei Pergamenchtchikov, "Geometric ergodicity for families of homogeneous Markov chains", arxiv:1002.2341
• Steven T. Garren and Richard L. Smith, "Estimating the second largest eigenvalue of a Markov transition matrix", Bernoulli 6 (2000): 215--242
• Arnaud Guillin, Aldéric Joulin, "Measure concentration through non-Lipschitz observables and functional inequalities", arxiv:1202.2341
• Olle Häggström, "On the central limit theorem for geometrically ergodic Markov chains", Probability Theory and Related Fields 132 (2005): 74--82
• Stefano Isola
  • "On the rate of convergence to equilibrium for countable ergodic Markov chains", math.PR/0308018 ["Using elementary methods, we prove that for a countable Markov chain $P$ of ergodic degree $d > 0$ the rate of convergence towards the stationary distribution is subgeometric of order $n^{-d}$, provided the initial distribution satisfies certain conditions of asymptotic decay. ... Explicit conditions allowing to obtain the actual asymptotics for the rate of convergence are also discussed."]
  • "On systems with finite ergodic degree", math.DS/0308019
• Milton Jara, Tomasz Komorowski and Stefano Olla, "Limit theorems for additive functionals of a Markov chain", arxiv:0809.0177 [Convergence to alpha-stable distributions]
• Tomasz Komorowski, Szymon Peszat, Tomasz Szarek, "On ergodicity of some Markov processes", Annals of Probability 38 (2010): 1401--1443, arxiv:0810.4609
• Tomasz Komorowski, Anna Walczuk, "Central limit theorem for Markov processes with spectral gap in Wasserstein metric", arxiv:1102.1842
• I. Kontoyiannis and S. P. Meyn, "Geometric ergodicity and the spectral gap of non-reversible Markov chains", Probability Theory and Related Fields 154 (2012): 327--339
• Krzysztof Łatuszyński, Błażej Miasojedow, Wojciech Niemiro, "Nonasymptotic bounds on the estimation error of MCMC algorithms", Bernoulli 19 (2013): 2033--2066, arxiv:1106.4739
• Andreas Nordvall Lageras and Orjan Stenflo, "Central limit theorems for contractive Markov chains", Nonlinearity 18 (2005): 1955--1965
• Martial Longla, Magda Peligrad, "Some Aspects of Modeling Dependence in Copula-based Markov chains", arxiv:1107.1794
• Neal Madras and Dana Randall, "Markov chain decomposition for convergence rate analysis", Annals of Applied Probability 12 (2002): 581--606
• Neal Madras and Deniz Sezer, "Quantitative bounds for Markov chain convergence: Wasserstein and total variation distances", Bernoulli 16 (2010): 882--908, arxiv:1102.5245
• Sean P. Meyn and Richard L. Tweedie, Markov Chains and Stochastic Stability [Full text of the first edition free online, courtesy of Prof. Meyn.]
• Blazej Miasojedow, "Hoeffding's inequalities for geometrically ergodic Markov chains on general state space", arxiv:1201.2265
• F. Rassoul-Agha and T. Seppalainen, "An Almost Sure Invariance Principle for Additive Functionals of Markov Chains", math.PR/0411603
• Frank Redig, Florian Völlering, "Concentration of Additive Functionals for Markov Processes and Applications to Interacting Particle Systems", arxiv:1003.0006
• Sunder Sethuraman and S. R. S. Varadhan, "A martingale proof of Dobrushin's theorem for non-homogeneous Markov chains", math.PR/0404231 [As you know, Bob, Dobrushin's theorem is a central limit theorem for Markov chains]
• Wojciech Slomczynski, Dynamical Entropy, Markov Operators, and Iterated Function Systems [Many thanks to Dr. Slomczynski for sending a copy of his work]
• Xin Thomson Tong, Ramon van Handel, "Ergodicity and stability of the conditional distributions of nondegenerate Markov chains", Annals of Applied Probability 22 (2012): 1495--1540, arxiv:1101.1822
• Feng-Yu Wang, "Coupling and Applications", arxiv:1012.5687 ["self-contained account for coupling arguments and applications in the context of Markov processes"]
• Ivan Werner [The sequence of papers on contractive Markov systems look very important, but I keep not finding the time to read them...]
  • "Contractive Markov Systems", Journal of the London Mathematical Society 71 (2005): 236--258
  • "Contractive Markov systems II", math.PR/0503633
  • "Fundamental Markov systems", math.PR/0509120
  • "The generalized Markov measure as an equilibrium state", math.DS/0503644 = Nonlinearity 18 (2005): 2261--2274
  • "Kolmogorov-Sinai entropy of a generalized Markov shift", math.DS/0502389
  • "On coding by Feller contractive Markov systems", math.DS/0506476
  • "A necessary condition for the uniqueness of the stationary state of a Markov system", math.PR/0508054