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Polynomial deviation bounds for recurrent Harris processeshaving general state space
Published online by Cambridge University Press: 08 February 2013
Abstract
Consider a strong Markov process in continuous time, taking values in some Polish statespace. Recently, Douc et al. [Stoc. Proc. Appl.119, (2009) 897–923] introduced verifiable conditions in terms ofa supermartingale property implying an explicit control of modulated moments of hittingtimes. We show how this control can be translated into a control of polynomial moments ofabstract regeneration times which are obtained by using the regeneration method ofNummelin, extended to the time-continuous context. As a consequence, if ap-th moment of the regeneration times exists, we obtain non asymptoticdeviation bounds of the form
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- © EDP Sciences, SMAI, 2013
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