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arxiv: 0901.2453 · v2 · submitted 2009-01-16 · 🧮 math.PR

State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains

classification 🧮 math.PR
keywords conditiondriftmarkovchainchainscriteriaexistencefoster-lyapunov
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We consider a form of state-dependent drift condition for a general Markov chain, whereby the chain subsampled at some deterministic time satisfies a geometric Foster-Lyapunov condition. We present sufficient criteria for such a drift condition to exist, and use these to partially answer a question posed by Connor & Kendall (2007) concerning the existence of so-called 'tame' Markov chains. Furthermore, we show that our 'subsampled drift condition' implies the existence of finite moments for the return time to a small set.

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