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Poincaré inequality and exponential integrability of the hitting times of a Markov process
Alexey M. Kulik Kiev 01601 Tereshchenkivska str. 3, Institute of Mathematics, Ukrainian National Academy of Sciences
Abstract:
Extending the approach of the paper [Mathieu, P. (1997) Hitting times and spectral gap inequalities, Ann. Inst. Henri Poincaré 33, 4, 437 – 465], we prove that the Poincaré inequality for a (possibly non-symmetric) Markov process yields the exponential integrability of the hitting times of this process. For symmetric elliptic diffusions, this provides a criterion for the Poincaré inequality in the terms of hitting times.
Keywords:
Markov process, exponential $\phi$-coupling, Poincaré inequality, hitting time.
Citation:
Alexey M. Kulik, “Poincaré inequality and exponential integrability of the hitting times of a Markov process”, Theory Stoch. Process., 17(33):2 (2011), 71–80
Linking options:
https://www.mathnet.ru/eng/thsp53 https://www.mathnet.ru/eng/thsp/v17/i2/p71
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Abstract page: | 142 | Full-text PDF : | 41 | References: | 32 |
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