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Haosui (Kevin) Duanmu, UC Berkeley: Nonstandard Analysis and its Application to Markov Processes

September 18, 2018 @ 11:00 am - 12:30 pm

Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in probability theory as well as stochastic processes. Nonstandard analysis allows construction of a single object – a hyperfinite probability space – which satisfies all the first order logical properties of a finite probability space, but which can be simultaneously viewed as a measure-theoretical probability space via the Loeb construction. As a consequence, the hyperfinite/measure duality has proven to be particularly in porting discrete results into their continuous settings.

In this talk, for every general-state-space continuous-time Markov process satisfying appropriate conditions, we construct a hyperfinite Markov process to represent it. Hyperfinite Markov processes have all the first order logical properties of a finite Markov process. We establish ergodicity of a large class of general-state-space continuous-time Markov processes via studying their hyperfinite counterpart. We also establish the asymptotical equivalence between mixing times, hitting times and average mixing times for discrete-time general-state-space Markov processes satisfying moderate condition. Finally, we show that our result is applicable to a large class of Gibbs samplers and a large class of Metropolis-Hasting algorithms.

Download the slides from this presentation: berkeleytalk


September 18, 2018
11:00 am - 12:30 pm
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