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Spectral kernel expansion of a reversible chain (Pt(x,y)/π(y))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Markov chain Reversible Markov chain
2026-10-06  0 By others on same topic  0 Discussions Create my own version
For a finite irreducible Markov chain satisfying detailed balance with π, its transition matrix is a self-adjoint operator for ⟨f,g⟩π​=∑x​π(x)f(x)g(x). For a real orthonormal eigenbasis (fj​) with eigenvalues (λj​),
π(y)Pt(x,y)​=∑j​λjt​fj​(x)fj​(y).
(1)
Indeed, apply the spectral decomposition of Pt to the function 1{y}​/π(y), whose coefficient against fj​ is fj​(y). For t=0, every eigenvalue multiplier is interpreted as one.

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  1. Reversible Markov chain
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  • Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 215 / 2 / b / Solution

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