Decay rates and cutoff for convergence and hitting times of Markov chains with countably infinite state space

被引:21
作者
Martínez, S
Ycart, B
机构
[1] Univ Chile, Ctr Modelamiento Matemat, CNRS, UMR 2071, Santiago, Chile
[2] Univ Paris 05, Paris, France
关键词
cutoff; gap; conditionally invariant measures;
D O I
10.1017/S0001867800010697
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
For a positive recurrent continuous-time Markov chain on a countable state space, we compare the access time to equilibrium to the hitting time of a particular state. For monotone processes, the exponential rates are ranked. When the process starts far from equilibrium, a cutoff phenomenon occurs at the same instant, in the sense that both the access time to equilibrium and the hitting time of a fixed state are equivalent to the expectation of the latter. In the case of Markov chains on trees, that expectation can be computed explicitly. The results are illustrated on the M/M/infinity queue.
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页码:188 / 205
页数:18
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