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Geometric drift yields a bounded small set and bivariate drift

Statement

Let P be countably generated, ϕ-irreducible and aperiodic with invariant probability π. Suppose C is (m,ϵ,ν)-small with ϕ(C)>0 and PV≤λV+b1C for finite V≥1, 0<λ<1. Then there are λ′∈(λ,1) and a ϕ-positive small set C0⊆C with sup⁡C0V<∞ and PV≤λ′V+b1C0 pointwise. Moreover there are a bounded-V small set D, a time L, a minorizing probability ν′, and a<1 such that for Q=PL and h(x,y)=(V(x)+V(y))/2, Q⊗Q h≤ahoff D2. If Q(x,⋅)≥ϵDν′ on D, the residual laws Rx=(Q(x,⋅)−ϵDν′)/(1−ϵD) have sup⁡x,y∈DRx⊗Ry(h)<∞ when ϵD<1; for ϵD=1 no residual branch is needed.

Facts & Assumptions

Given: The irreducibility, aperiodicity, invariant probability, small-set and drift assumptions.

[F1]

Phi-irreducibility for a general-state Markov kernel: every positive-ϕ set is reachable from every state.

[F2]

Small-set minorization and geometric drift: the fixed-time minorization and pointwise drift inequality hold.

[F3]

Invariant mass and almost-sure hitting of accessible sets: π charges each positive-ϕ set.

[F4]

A drift sublevel enlargement of a small set is petite: a drift sublevel enlargement of a small set is petite.

[F5]

A petite drift enlargement is small under aperiodicity: a petite set is small if it contains a small set with the same minorizer, that minorizer charges the small set, and it is absolutely continuous with respect to the invariant law.

[F6]

Aperiodicity makes minorization times eventually consecutive: once ν′≪π and every state reaches a minorization into ν′, ν′Pt≥ctν′ for all sufficiently large t.

[F7]

Aperiodicity for a general-state Markov kernel: aperiodicity excludes cyclic decompositions.

[F9]

Measure kernel and probability kernel: probability kernels have measurable evaluations and probability-measure sections.

[A1]

Assume The Axiom of Choice as inherited from the path and stopping-time constructions in [F4] and [F5].

Proof

Given: The hypotheses and facts [F1]–[F9], with [A1].

1.1F1F2A1given

Choose λ′∈(λ,1) and then d0>b/(λ′−λ) large enough that C0=C∩{V≤d0} has positive ϕ-measure; such a choice exists since V is finite and C is positive. The set C0 remains (m,ϵ,ν)-small and is bounded in V. For x∈C∖C0, b≤(λ′−λ)V(x), while outside C the original drift has no b term. Hence PV≤λ′V+b1C0.

2.1F1F2F3F8F9step 1.1

By [F3], π(C0)>0. Integrating the minorization over C0 gives ν≪π. Iteration of the original drift yields PmV(x)≤λmV(x)+b/(1−λ); for x∈C0 the right side is finite and uniformly bounded. Since Pm(x,⋅)≥ϵν, it follows that νV≤ϵ−1PmV(x)<∞. Irreducibility and ϕ(C0)>0 give some k≥0 with νPk(C0)>0. Put ν′=νPk. For any A with π(A)=0, invariance gives ∫Pk(x,A)π(dx)=π(A)=0, so Pk(x,A)=0 for π-almost every x; since ν≪π, this implies ν′(A)=∫Pk(x,A)ν(dx)=0. Thus ν′≪π. Also ν′V<∞, and C0 is small at time m+k with minorizer ν′.

3.1F1F2F4F5F6A1step 1.1step 2.1

Choose any finite d1 large enough that 2b/((1−λ′)(d1+1))<1. Put D=C0∪{V≤d1}, which is bounded in V. By [F4], there are weights (an), α>0, and a probability μ such that ∑n≥1anPn(x,⋅)≥αμ on D. Put m0=m+k, so C0 is (m0,ϵ,ν′)-small. By [F1], every state reaches C0 at some positive time; a countable union therefore gives j≥1 with μPj(C0)>0. Composition yields μPj+m0≥ϵμPj(C0)ν′. Thus the shifted mixture ∑n≥1anPn+j+m0 makes D petite with minorizer ν′. Since ν′(C0)>0 and ν′≪π, [F5] gives some ℓ≥1, β>0, and probability η with Pℓ(x,⋅)≥βη on D. Again [F1] gives j′≥1 with ηPj′(C0)>0. Hence, for L0=ℓ+j′+m0, PL0(x,⋅)≥δ0ν′, where δ0=βϵηPj′(C0)>0 on D. Each state also reaches a positive minorization into ν′ by reaching C0 and then running m0 steps. For every sufficiently large t, [F6] gives ν′Pt≥ctν′; hence PL0+t(x,⋅)≥δ0ctν′ for x∈D.

4.1F2F7F9step 2.1step 3.1algebra∎

Iterating the improved drift gives PLV≤λ′LV+B0 with B0=b/(1−λ′). Choose t in step 3.1 large enough that L=L0+t also satisfies a:=λ′L+2B0d1+1<1. If (x,y)∉D2, at least one coordinate has V>d1, so h≥(d1+1)/2. Therefore Q⊗Q h≤λ′Lh+B0≤ah. The set D is bounded in V, and QV is uniformly bounded on D by the drift bound. The minorizer ν′ has finite V-moment by step 2.1, so the residual laws have uniformly finite V-moment and their product expectation of h is bounded.

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