Ergodicity Of Markov Processes Via Nonstandard Analysis
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Author | : Haosui Duanmu |
Publisher | : American Mathematical Society |
Total Pages | : 114 |
Release | : 2021-12-09 |
Genre | : Mathematics |
ISBN | : 147045002X |
Download Ergodicity of Markov Processes via Nonstandard Analysis Book in PDF, Epub and Kindle
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Author | : Haosui Duanmu |
Publisher | : |
Total Pages | : 0 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Applications of Nonstandard Analysis to Markov Processes and Statistical Decision Theory Book in PDF, Epub and Kindle
We use nonstandard analysis to significantly generalize the well-known Markov chain ergodic theorem and establish a fundamentally new complete class theorem, making progress on two core problems in stochastic process theory and statistical decision theory, respectively. In the first part, we study the ergodicity of time-homogenous Markov processes. A time-homogeneous Markov process with stationary distribution $\pi$ is said to be ergodic if its transition probability converges to $\pi$ in total variation distance. In the most general setting of continuous-time Markov processes with general state spaces, there are few results characterizing the ergodicity of the underlying Markov processes. Using the method of nonstandard analysis, for every standard Markov process $\{X_t\}_{t\geq 0}$, we construct a nonstandard Markov process $\{X'_t\}_{t\in T}$ that inherits most of the key properties of $\{X_t\}_{t\geq 0}$ hence establishing the ergodicity without technical conditions, such as on drift or skeleton chains. In the second part, we study the relationship between frequentist and Bayesian optimality, extending the line of work initiated by Wald in the 1940's. Existing results are subject to technical conditions that rule out semi-parametric decision problems and generally rule out non-parametric ones. Using nonstandard analysis, we show that, among decision procedures with finite risk functions, a decision procedure is extended admissible if and only if its extension has infinitesimal excess Bayes risk. The result holds in complete generality, i.e, without regularity conditions or restrictions on the model or the loss function. This nonstandard characterization of extended admissibility also generates a purely standard theorem: when risk functions are continuous on a compact Hausdorff parameter space, a procedure is extended admissible if and only if it is Bayes.
Author | : Alexei Kulik |
Publisher | : Walter de Gruyter GmbH & Co KG |
Total Pages | : 268 |
Release | : 2017-11-20 |
Genre | : Mathematics |
ISBN | : 3110458934 |
Download Ergodic Behavior of Markov Processes Book in PDF, Epub and Kindle
The general topic of this book is the ergodic behavior of Markov processes. A detailed introduction to methods for proving ergodicity and upper bounds for ergodic rates is presented in the first part of the book, with the focus put on weak ergodic rates, typical for Markov systems with complicated structure. The second part is devoted to the application of these methods to limit theorems for functionals of Markov processes. The book is aimed at a wide audience with a background in probability and measure theory. Some knowledge of stochastic processes and stochastic differential equations helps in a deeper understanding of specific examples. Contents Part I: Ergodic Rates for Markov Chains and Processes Markov Chains with Discrete State Spaces General Markov Chains: Ergodicity in Total Variation MarkovProcesseswithContinuousTime Weak Ergodic Rates Part II: Limit Theorems The Law of Large Numbers and the Central Limit Theorem Functional Limit Theorems
Author | : Marco De Renzi |
Publisher | : American Mathematical Society |
Total Pages | : 161 |
Release | : 2022-05-24 |
Genre | : Mathematics |
ISBN | : 1470452693 |
Download Non-Semisimple Extended Topological Quantum Field Theories Book in PDF, Epub and Kindle
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Author | : H. Flenner |
Publisher | : American Mathematical Society |
Total Pages | : 124 |
Release | : 2022-07-18 |
Genre | : Mathematics |
ISBN | : 1470453738 |
Download Cancellation for surfaces revisited Book in PDF, Epub and Kindle
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Author | : Michele D’Adderio |
Publisher | : American Mathematical Society |
Total Pages | : 138 |
Release | : 2022-07-18 |
Genre | : Mathematics |
ISBN | : 1470471574 |
Download Decorated Dyck Paths, Polyominoes, and the Delta Conjecture Book in PDF, Epub and Kindle
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Author | : Matthias Grüninger |
Publisher | : American Mathematical Society |
Total Pages | : 154 |
Release | : 2022-04-08 |
Genre | : Mathematics |
ISBN | : 1470451344 |
Download Cubic Action of a Rank One Group Book in PDF, Epub and Kindle
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Author | : Alexander V. Kolesnikov |
Publisher | : American Mathematical Society |
Total Pages | : 78 |
Release | : 2022-05-24 |
Genre | : Mathematics |
ISBN | : 1470451603 |
Download Local $L^p$-Brunn-Minkowski Inequalities for $p Book in PDF, Epub and Kindle
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Author | : Nuno Freitas |
Publisher | : American Mathematical Society |
Total Pages | : 105 |
Release | : 2022-05-24 |
Genre | : Mathematics |
ISBN | : 1470452103 |
Download On the Symplectic Type of Isomorphisms of the $p$-Torsion of Elliptic Curves Book in PDF, Epub and Kindle
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Author | : Athanassios S. Fokas |
Publisher | : American Mathematical Society |
Total Pages | : 114 |
Release | : 2022-02-02 |
Genre | : Mathematics |
ISBN | : 1470450984 |
Download On the Asymptotics to all Orders of the Riemann Zeta Function and of a Two-Parameter Generalization of the Riemann Zeta Function Book in PDF, Epub and Kindle
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