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arxiv: 1002.2163 · v2 · submitted 2010-02-10 · 🧮 math.PR

Bernstein type's concentration inequalities for symmetric Markov processes

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keywords inequalitiesapproachbernsteinconcentrationmarkovmethodsymmetrictype
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Using the method of transportation-information inequality introduced in \cite{GLWY}, we establish Bernstein type's concentration inequalities for empirical means $\frac 1t \int_0^t g(X_s)ds$ where $g$ is a unbounded observable of the symmetric Markov process $(X_t)$. Three approaches are proposed : functional inequalities approach ; Lyapunov function method ; and an approach through the Lipschitzian norm of the solution to the Poisson equation. Several applications and examples are studied.

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