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Preprints, Working Papers, ... (Preprint) Year : 2023

Reducing metastable continuous-space Markov chains to Markov chains on a finite set

Nils Berglund

Abstract

We consider continuous-space, discrete-time Markov chains on $R^{d}$, that admit a finite number $N$ of metastable states. Our main motivation for investigating these processes is to analyse random Poincaré maps, which describe random perturbations of ordinary differential equations admitting several periodic orbits. We show that under a few general assumptions, which hold in many examples of interest, the kernels of these Markov chains admit $N$ eigenvalues exponentially close to 1, which are separated from the remainder of the spectrum by a spectral gap that can be quantified. Our main result states that these Markov chains can be approximated, uniformly in time, by a finite Markov chain with $N$ states. The transition probabilities of the finite chain are exponentially close to first-passage probabilities at neighbourhoods of metastable states, when starting in suitable quasistationary distributions.
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hal-04042150 , version 1 (12-05-2023)

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Nils Berglund. Reducing metastable continuous-space Markov chains to Markov chains on a finite set. 2023. ⟨hal-04042150⟩
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