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arXiv · 2106.00324

Variational principles for asymptotic variance of general Markov processes

Lu-Jing Huang·Yong-Hua Mao·Tao Wang
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Abstract

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.

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Lu-Jing Huang, Yong-Hua Mao, Tao Wang. 2021-06-01. Variational principles for asymptotic variance of general Markov processes. https://arxiv.org/abs/2106.00324

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