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arxiv: 1511.01264 · v3 · pith:MRWZBWHUnew · submitted 2015-11-04 · 🧮 math.PR

Subgeometric rates of convergence for Markov processes under subordination

classification 🧮 math.PR
keywords convergencemarkovprocessratebernsteinfunctionsubordinatesubordination
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We are interested in the rate of convergence of a subordinate Markov process to its invariant measure. Given a subordinator and the corresponding Bernstein function (Laplace exponent) we characterize the convergence rate of the subordinate Markov process; the key ingredients are the rate of convergence of the original process and the (inverse of the) Bernstein function. At a technical level, the crucial point is to bound three types of moments (sub-exponential, algebraic and logarithmic) for subordinators as time $t$ tends to infinity. At the end we discuss some concrete models and we show that subordination can dramatically change the speed of convergence to equilibrium.

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