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  • Literature-sourced: the exact statement appears in a cited source; only wording and notation differ.
  • AI-adapted: a semantically identical restatement of literature-sourced material, modulo indexing, notation, and boundary cases adopted by the library.
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Drift and minorization certify geometric ergodicity

Statement

On N0, define a birth-death kernel by P(0,1)=1/4, P(0,0)=3/4, and for n≥1, P(n,n+1)=1/4,P(n,n−1)=1/2,P(n,n)=1/4. It has invariant probability πn=2−n−1 and satisfies a geometric drift and small-set minorization, so it is geometrically ergodic.

Facts & Assumptions

Given: The state space and transition probabilities in the Statement.

[F1]

Phi-irreducibility for a general-state Markov kernel: positive counting-measure sets are reachable from every state.

[F2]

Aperiodicity for a general-state Markov kernel: a self-loop on the irreducible class prevents a cyclic decomposition.

[F3]

Small-set minorization and geometric drift: a drift inequality and a fixed-time small-set minorization are the hypotheses used by the geometric theorem.

[F5]

Geometric ergodicity under drift and small-set minorization: irreducibility, aperiodicity, invariant probability, small set and drift imply a V-weighted geometric total-variation bound.

[F6]

Measure kernel and probability kernel: transition rows are probability measures and the statewise evaluations are measurable.

[A1]

Assume The Axiom of Choice when invoking [F5], retaining the choice assumptions declared by that theorem and its suppliers.

Verification

Given: The kernel and facts [F1]–[F6], with [A1].

1.1F1F2F4F6given

The transition rows sum to one. Every adjacent move has positive probability, so every state reaches every other state, proving counting-measure irreducibility. Each state has a positive holding probability, so no positive-mass cyclic family can move deterministically to a disjoint successor. The proposed masses sum to one. At state 0, the incoming mass is π0P(0,0)+π1P(1,0)=3/8+1/8=1/2=π0. For n≥1, it is ∑jπjP(j,n)=πn−1/4+πn/4+πn+1/2=2−n−2+2−n−3+2−n−3=2−n−1=πn. Thus πP=π. Also πnP(n,n+1)=2−n−1/4=2−n−3=πn+1P(n+1,n); these detailed-balance equalities and ∑n≥02−n−1=1 provide a second check.

1.2F3algebra

Let C={0}, ν=P(0,⋅), m=1, and ϵ=1. Then P(0,⋅)=ν, so C is small. Set V(n)=(2)n. For n≥1, PV(n)V(n)=142+1212+14=14+22<2425. Since 2/2<71/100 (squaring gives 1/2<5041/10000), the preceding ratio is less than 96/100=24/25. At 0, PV(0)=3/4+2/4<5/4<49/25=24/25+b with b=1. Hence PV≤(24/25)V+1C.

2.1F1F2F3F4F5F6A1step 1.1step 1.2∎

The hypotheses of [F5] now hold, so there are M<∞ and r<1 with ∥Pn(x,⋅)−π∥TV≤MV(x)rn for all x,n. The example supplies a concrete certificate: the target is invariant and the drift/minorization conditions are checked directly.

Depends on

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Sources