Rates of convergence of stochastically monotone and continuous time Markovmodels

Citation
Go. Roberts et Rl. Tweedie, Rates of convergence of stochastically monotone and continuous time Markovmodels, J APPL PROB, 37(2), 2000, pp. 359-373
Citations number
16
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF APPLIED PROBABILITY
ISSN journal
00219002 → ACNP
Volume
37
Issue
2
Year of publication
2000
Pages
359 - 373
Database
ISI
SICI code
0021-9002(200006)37:2<359:ROCOSM>2.0.ZU;2-M
Abstract
In this paper we give bounds on the total variation distance from convergen ce of a continuous time positive recurrent Markov process on an arbitrary s tate space, based on Foster-Lyapunov drift and minorisation conditions. Con siderably improved bounds are given in the stochastically monotone case, fo r both discrete and continuous time models, even in the absence of a reacha ble minimal element. These results are applied to storage models and to dif fusion processes.