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Teoriya Veroyatnostei i ee Primeneniya, 1998, Volume 43, Issue 4, Pages 752–764
DOI: https://doi.org/10.4213/tvp2076
(Mi tvp2076)
 

On small perturbations of stable Markov operators: unbounded case

B. Delyona, A. Juditskyb

a IRISA, France
b INRIA Rhône-Alpes, France
Abstract: We consider the problem of estimating the bounds for generic expressions of the type $\mathbb{E}[\varphi(\gamma,X_1)\cdots\varphi(\gamma,X_{n})]$, where $(X_i)$ is a not necessarily bounded Markov process, $\varphi$ is a smooth function, and $\gamma$ is a small parameter. We show that when the chain $(X_i)$ is exponentially ergodic, some tight bounds can be obtained by small perturbation of the transition operator of the chain. The result is then applied to prove exponential convergence of matrix products and exponential inequalities for Markov chains.
Keywords: random variables products, exponential inequalities for Markov chains.
Received: 09.04.1997
English version:
Theory of Probability and its Applications, 1999, Volume 43, Issue 4, Pages 577–587
DOI: https://doi.org/10.1137/S0040585X97977173
Bibliographic databases:
Language: English
Citation: B. Delyon, A. Juditsky, “On small perturbations of stable Markov operators: unbounded case”, Teor. Veroyatnost. i Primenen., 43:4 (1998), 752–764; Theory Probab. Appl., 43:4 (1999), 577–587
Citation in format AMSBIB
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\by B.~Delyon, A.~Juditsky
\paper On small perturbations of stable Markov operators: unbounded case
\jour Teor. Veroyatnost. i Primenen.
\yr 1998
\vol 43
\issue 4
\pages 752--764
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\crossref{https://doi.org/10.4213/tvp2076}
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\zmath{https://zbmath.org/?q=an:0962.60062}
\transl
\jour Theory Probab. Appl.
\yr 1999
\vol 43
\issue 4
\pages 577--587
\crossref{https://doi.org/10.1137/S0040585X97977173}
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  • https://www.mathnet.ru/eng/tvp/v43/i4/p752
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