Blanchet, J., & Chen, X. (2016). Rates of Convergence to Stationarity for Multidimensional RBM. ArXiv. /abs/1601.04111
Abstract
We provide the first rate of convergence analysis for RBM as the dimension grows under natural uniformity conditions. In particular, if the underlying routing matrix is uniformly contractive, uniform stability of the drift vector holds, and the variances of the underlying Brownian Motion (BM) are bounded, then we show that the RBM converges exponentially fast to stationarity with a relaxation time of order
Authors
Jose Blanchet, Xinyun Chen
Publication date
2016/1/16
Journal
arXiv preprint arXiv:1601.04111
