Concentration Inequalities for Markov Jump Processes
| Autor: | Ibanez, Santiago Carrero |
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| Rok vydání: | 2022 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We derive concentration inequalities for empirical means $\frac{1}{t} \int_0^t f(X_s) ds$ where $X_s$ is an irreducible Markov jump process on a finite state space and $f$ some observable. Using a Feynman-Kac semigroup we first derive a general concentration inequality. Then, based on this inequality we derive further concentration inequalities. Hereby we use three different methods; perturbation theory, Poincar\'e inequalities and information inequalities. We also obtain a Bernstein type concentration inequality. Comment: Bachelor Thesis |
| Databáze: | arXiv |
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