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Geometric ergodicity for classes of homogeneous Markov chains |
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| Authors: | L Galtchouk S Pergamenshchikov |
| Institution: | 1. IRMA, Department of Mathematics, Strasbourg University, 7, rue Rénè Descartes, 67084, Strasbourg, France;2. Laboratoire de Mathématiques Raphael Salem, Avenue de l’Université, BP. 12, Université de Rouen, F76801, Saint Etienne du Rouvray, Cedex, France;3. National Research University - Higher School of Economics, Laboratory of Quantitative Finance, Moscow, Russia |
| Abstract: | The paper deals with non asymptotic computable bounds for the geometric convergence rate of homogeneous ergodic Markov processes. Some sufficient conditions are stated for simultaneous geometric ergodicity of Markov chain classes. This property is applied to nonparametric estimation in ergodic diffusion processes. |
| Keywords: | 60F10 60J05 |
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