arXiv:2106.00324 Abstract | arXiv Analytics

arXiv:2106.00324 [math.PR]Abstract References Reviews Resources

Variational principles for asymptotic variance of general Markov processes

Published 2021-06-01Version 1

A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and non-reversible diffusion processes.

Comments: 14 pages

Categories: math.PR

Subjects: 60J25, 60J46, 60J60

Keywords: general markov processes, asymptotic variance, variational principles, mean exit time, non-reversible diffusion processes

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