关于可逆马尔可夫链的李雅普诺夫-福斯特准则和庞加莱不等式
On the Lyapunov Foster criterion and Poincaré inequality for Reversible Markov Chains
摘要：
本文从Foster-Lyapunov漂移条件出发，给出了离散时间可逆马尔可夫链随机稳定性的一个初等证明。除了相对简单之外，证明还有两个显著的特点：（i）它完全依赖于函数分析的非概率论证;（ii）它明确了福斯特-李雅普诺夫函数和庞加莱不等式之间的联系。证明是用来推导出一个明确的范围的频谱间隙。一个扩展到不可逆的情况下也提出。
英文摘要：
This paper presents an elementary proof of stochastic stability of a discrete-time reversible Markov chain starting from a Foster-Lyapunov drift condition. Besides its relative simplicity, there are two salient features of the proof: (i) it relies entirely on functional-analytic non-probabilistic arguments; and (ii) it makes explicit the connection between a Foster-Lyapunov function and Poincaré inequality. The proof is used to derive an explicit bound for the spectral gap. An extension to the non-reversible case is also presented.
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