Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
Annales de l'I.H.P. Probabilités et statistiques, Volume 47 (2011) no. 2, p. 425-449

Let X be a one-dimensional positive recurrent diffusion with initial distribution ν and invariant probability μ. Suppose that for some p>1, ∃a∈ℝ such that ∀x∈ℝ, and , where Ta is the hitting time of a. For such a diffusion, we derive non-asymptotic deviation bounds of the form ℙν(|(1/t)0tf(Xs) ds-μ(f)|≥ε)≤K(p)(1/tp/2)(1/εp)A(f)p. Here f bounded or bounded and compactly supported and A(f)=‖f‖∞ when f is bounded and A(f)=μ(|f|) when f is bounded and compactly supported. We also give, under some conditions on the coefficients of X, a polynomial control of from above and below. This control is based on a generalized Kac's formula (see Theorem 4.1) for the moments of a differentiable function f.

Considérons une diffusion récurrente positive avec loi initiale ν et probabilité invariante μ. Pour tout a∈ℝ, soit Ta le temps d'atteinte du point a. Supposons qu'il existe p>1 et un point a∈ℝ tels que pour tout x∈ℝ, et . Alors nous obtenons l'inégalité de déviation non-asymptotique suivante: ℙν(|(1/t)0tf(Xs) ds-μ(f)|≥ε)≤K(p)(1/tp/2)(1/εp)A(f)p, où f est une fonction bornée ou une fonction bornée à support compact. Ici, A(f)=‖f‖∞ dans le cas d'une fonction bornée et A(f)=μ(|f|) dans le cas d'une fonction bornée à support compact. De plus, sous certaines conditions sur les coefficients de la diffusion, nous obtenons une minoration et majoration, polynomiale en x, de . Ce résultat est basé sur une formule de Kac généralisée (voir théorème 4.1) pour les moments où f est une fonction dérivable.

DOI : https://doi.org/10.1214/10-AIHP359
Classification:  60F99,  60J55,  60J60
Keywords: diffusion process, recurrence, additive functionals, ergodic theorem, polynomial convergence, hitting times, Kac formula, deviations inequalities
@article{AIHPB_2011__47_2_425_0,
     author = {L\"ocherbach, Eva and Loukianova, Dasha and Loukianov, Oleg},
     title = {Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     publisher = {Gauthier-Villars},
     volume = {47},
     number = {2},
     year = {2011},
     pages = {425-449},
     doi = {10.1214/10-AIHP359},
     zbl = {1220.60045},
     mrnumber = {2814417},
     language = {en},
     url = {http://www.numdam.org/item/AIHPB_2011__47_2_425_0}
}
Löcherbach, Eva; Loukianova, Dasha; Loukianov, Oleg. Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times. Annales de l'I.H.P. Probabilités et statistiques, Volume 47 (2011) no. 2, pp. 425-449. doi : 10.1214/10-AIHP359. http://www.numdam.org/item/AIHPB_2011__47_2_425_0/

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