Expectations for Nonreversible Markov Chains

Bounds are given for an irreducible Markov chain on the probability that the time average of a functional on the state space exceeds its stationary expectation, without assuming reversibility. The bounds are in terms of the singular values of the discrete generator.

Bibliographic Details

Published in:	Journal of mathematical analysis and applications 1998-04, Vol.220 (2), p.585-596
Main Author:	Dinwoodie, I.H.
Format:	Article
Language:	English
Subjects:	Exact sciences and technology Markov processes Mathematics Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use
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