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Theory of Stochastic Processes, 2011, Volume 17(33), Issue 2, Pages 71–80 (Mi thsp53)  

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
References:
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.
Bibliographic databases:
Document Type: Article
MSC: 60J25, 60J35, 37A30
Language: English
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
Citation in format AMSBIB
\Bibitem{Kul11}
\by Alexey M. Kulik
\paper Poincar\'e inequality and exponential integrability of the hitting times of a Markov process
\jour Theory Stoch. Process.
\yr 2011
\vol 17(33)
\issue 2
\pages 71--80
\mathnet{http://mi.mathnet.ru/thsp53}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2934560}
\zmath{https://zbmath.org/?q=an:1249.60167}
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