
In this paper we show that to each distance d defined on the finite state space S of a strongly ergodic Markov chain there corresponds a coefficient ρd of ergodicity based on the Wasserstein metric. For a class of stochastically monotone transition matrices P, the infimum over all such coefficients is given by the spectral radius of P – R, where R = lim k Pk and is attained. This result has a probabilistic interpretation of a control of the speed of convergence of by the metric d and is linked to the second eigenvalue of P.
strongly ergodic Markov chain, Wasserstein metric, speed of convergence, Markov chains (discrete-time Markov processes on discrete state spaces), birth and death matrix
strongly ergodic Markov chain, Wasserstein metric, speed of convergence, Markov chains (discrete-time Markov processes on discrete state spaces), birth and death matrix
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