Effective geometric ergodicty for Markov chains in random environment

TL;DR

This paper proves an effective form of geometric ergodicity for Markov chains in random environments, providing integrability of exponential rates and applications to statistical properties like decay of correlations.

Contribution

It introduces an effective version of geometric ergodicity with integrable exponential rates, extending previous non-effective results and connecting to spectral gaps in ergodic theory.

Findings

Proves effective geometric ergodicity under random non-uniform Doeblin condition.

Establishes applications to rates in quenched almost sure invariance principle.

Provides conditions for verifying assumptions in existing ergodic theorems.

Abstract

In this short note we prove ``effective" geometric ergodicity (i.e a Perron-Frobenius theorem) for Markov chains in random mixing dynamical environment satisfying a random non-uniform version of the Doeblin condition. Effectivity here means that all the random variables involved in the random exponential rates are integrable with arbitrarily large order. This compliments \cite[Theorem 2.1]{Kifer 1996}, where ``non-effective" geometric ergodicity was obtained. From a different perspective, our result is also motivated by egrodic theory, as it can be seen as an effective version of the ``spectral" gap in the top Oseledets space in the Oseledets multiplicative ergodic theorem for the random Markov operator cocycle (when it applies). We also present applications of the effective ergodicity to rates in the (quenched) almost sure invariance principle (ASIP), exponential decay of correlations for Markovian skew products and for exponential tails for random mixing times. As a byproduct of the proof of the ASIP rates we also provide easy to verify sufficient conditions for the verification of the assumptions of \cite[Theorem 2.4]{Kifer 1998}.