Variational principles of hitting times for non-reversible Markov chains

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:468

Article

Huang, Lu-Jing¹  Mao, Yong-Hua¹ 

[1] Beijing Normal Univ, Sch Math Sci, Lab Math & Complex Syst, Minist Educ, Beijing 100875, Peoples R China

关键词: Variational formula;    Markov chain;    Non-reversible;    First hitting time;    Fundamental matrix;   

DOI  :  10.1016/j.jmaa.2018.08.036

来源: Elsevier

【 摘 要 】

We give some new kinds of variational formulas for the first hitting time of non-reversible Markov chain on countable state space. Some comparison theorems are obtained for the non-reversible Markov chain and its corresponding reversible one. As an application, we prove a stronger version of a conjecture in [1, Chapter 9, Conjecture 22]. (C) 2018 Published by Elsevier Inc.

【 授权许可】

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