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arXiv · 2005.08145

On the Lyapunov Foster criterion and Poincar\'e inequality for Reversible Markov Chains

Amirhossein Taghvaei·Prashant G. Mehta
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Abstract

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 Poincar\'e 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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Amirhossein Taghvaei, Prashant G. Mehta. 2020-05-17. On the Lyapunov Foster criterion and Poincar\'e inequality for Reversible Markov Chains. https://arxiv.org/abs/2005.08145

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