Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : In this paper we derive non asymptotic deviation bounds for $$P_ u left(left|frac 1t , int_0^t V(X_s) ds , - , int V dmu ight| , geq , R ight)$$ where $X$ is a $mu$ stationary and ergodic Markov process and $V$ is some $mu$ integrable function. These bounds are obtained under various moments assumptions for $V$, and various regularity assumptions for $mu$. Regularity means here that $mu$ may satisfy various functional inequalities (F-Sobolev, generalized Poincar'e etc...).
 
 
Deviation bounds for additive functionals of Markov process
CATTIAUX Patrick, GUILLIN Arnaud
2006-16
01-03-2006
 
Université de PARIS - DAUPHINE
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