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Geometrically ergodic chains are exponentially strongly mixing: α(n)≤c an\alpha(n) \le c\,a^nα(n)≤can

Proved
MarkovChainCLT.alphaMixingCoef_exp_of_geometricallyErgodic

by Zexuan Liu · Sep 7, 2026 · Mathlib c5ea003 (Lean v4.30.0)

geometric-ergodicitymarkov-chainmixingprobability

Let X={Xn}n≥0X = \{X_n\}_{n \ge 0}X={Xn​}n≥0​ be a Markov chain with transition kernel PPP on a state space X\mathsf{X}X, Harris ergodic with invariant probability distribution π\piπ, and suppose the chain is geometrically ergodic: there are a function M≥0M \ge 0M≥0 and a constant t<1t < 1t<1 with

∥Pn(x,⋅)−π∥≤M(x) tn(x∈X, n≥1).\|P^n(x, \cdot) - \pi\| \le M(x)\, t^n \qquad (x \in \mathsf{X},\ n \ge 1).∥Pn(x,⋅)−π∥≤M(x)tn(x∈X, n≥1).

Then the stationary chain (started from X0∼πX_0 \sim \piX0​∼π) is exponentially fast strongly mixing: there exist constants c≥0c \ge 0c≥0 and a∈[0,1)a \in [0, 1)a∈[0,1) such that its strong mixing coefficients satisfy

α(n)  ≤  c an(n≥0).\alpha(n) \;\le\; c\, a^n \qquad (n \ge 0).α(n)≤can(n≥0).

This is the sentence of the source that the geometric cases of Corollaries 2 and 3 actually consume: "geometrically ergodic Markov chains enjoy exponentially fast strong mixing" (Jones 2004, §3, immediately after the coupling bound α(n)≤γ(n)EπM\alpha(n) \le \gamma(n) E_\pi Mα(n)≤γ(n)Eπ​M of Theorem 2(ii)). It is what Theorem 6 (Doukhan–Massart–Rio) and Theorem 5(ii) (Ibragimov–Linnik) need as input, and it replaces the intermediate claim that the rate constant MMM itself may be taken π\piπ-integrable — a claim which is false on general state spaces (the countdown chain on a countable–cocountable space, disproved on this platform as geometricallyErgodic_integrable_rate) even though its mixing consequence survives.

Why the statement holds on an arbitrary measurable space. The countdown counterexample only refutes integrability of the given constant: there π\piπ is a point mass, the stationary chain is constant, and every α(n)\alpha(n)α(n) is 000. The general statement reduces to the countably generated case. Each event in the past and future σ\sigmaσ-algebras of the coordinate process is measurable for the process σ\sigmaσ-algebra generated by countably many measurable subsets of X\mathsf{X}X, and a single countable family realises every α(n)\alpha(n)α(n) up to a factor 222 simultaneously (exists_countable_alpha_witnesses). Closing that family under finite Boolean operations and under the maps A↦{x:P(x,A)>q}A \mapsto \{x : P(x, A) > q\}A↦{x:P(x,A)>q}, q∈Qq \in \mathbb{Q}q∈Q, yields a countably generated sub-σ\sigmaσ-algebra G\mathcal{G}G on which PPP is again a Markov kernel; π∣G\pi|_{\mathcal{G}}π∣G​ is invariant, total variation over G\mathcal{G}G-sets is dominated by total variation over all sets, so Harris ergodicity and geometric ergodicity (same MMM, ttt) pass to the restricted chain, and its path law is the restriction of chainMeasure P π to the G\mathcal{G}G-cylinders. The countably generated case is the classical Meyn–Tweedie route: geometric ergodicity yields a geometric drift function V≥1V \ge 1V≥1 towards a small set (Theorem 15.0.1), EπV<∞E_\pi V < \inftyEπ​V<∞ (Theorem 14.3.7), a total-variation rate with constant proportional to VVV (Remark 1 of the source), and finally α(n)≤tnEπV\alpha(n) \le t^n E_\pi Vα(n)≤tnEπ​V by Theorem 2(ii).

Formalization Note "Harris ergodic" is the mission's total-variation encoding (HarrisErgodic: π\piπ invariant and ∥Pn(x,⋅)−π∥→0\|P^n(x,\cdot) - \pi\| \to 0∥Pn(x,⋅)−π∥→0 for every xxx), and geometric ergodicity is GeometricallyErgodic from Def_MarkovErgodicity, with a pointwise finite but not necessarily measurable or integrable constant MMM. The mixing coefficient is alphaMixingCoef of the coordinate process ω↦ωi\omega \mapsto \omega_iω↦ωi​ under the stationary path law chainMeasure P π, the same object bounded by alpha_mixing_le_tv_rate. The bound is asked for at every lag including n=0n = 0n=0, which costs nothing since α(0)≤1/4\alpha(0) \le 1/4α(0)≤1/4. No countably generated hypothesis is imposed, so the statement can be cited by Corollaries 2 and 3 as formalized.

Preamble
import Definitions.Def_MarkovErgodicity
import Definitions.Def_MarkovChainPathMeasure
import Definitions.Def_MixingCoefficients

open MeasureTheory ProbabilityTheory Filter
open scoped ENNReal NNReal Topology ProbabilityTheory
Formal statement
theorem MarkovChainCLT.alphaMixingCoef_exp_of_geometricallyErgodic {X : Type*} [MeasurableSpace X]
    (P : Kernel X X) [IsMarkovKernel P] (π : Measure X) [IsProbabilityMeasure π]
    (hP : HarrisErgodic P π) (hgeo : GeometricallyErgodic P π) :
    ∃ c a : ℝ, 0 ≤ c ∧ 0 ≤ a ∧ a < 1 ∧
      ∀ n : ℕ, alphaMixingCoef (chainMeasure P π) (fun i (ω : ℕ → X) => ω i) n ≤ c * a ^ n := by sorry
Source
G. L. Jones, "On the Markov Chain Central Limit Theorem", Probability Surveys 1 (2004) 299-320, arXiv math/0409112v2, Section 3 (arXiv v2 p. 7): "if (3) holds with E_π M < ∞, a similar argument shows that α(n) ≤ γ(n) E_π M and hence α(n) = O(γ(n)). For example, geometrically ergodic Markov chains enjoy exponentially fast strong mixing." Used in the proofs of Corollary 2 (case 1) and Corollary 3 (arXiv v2 pp. 10-11). Classical justification: Section 2, Remark 1 (arXiv v2 pp. 3-4) with S. P. Meyn & R. L. Tweedie, Markov Chains and Stochastic Stability (1993), Theorems 15.0.1 and 14.3.7; the reduction from an arbitrary to a countably generated state space is by restriction to a countably generated P-invariant sub-sigma-algebra (cf. P. R. Halmos, Measure Theory, Section 13, and R. C. Bradley, Probability Surveys 2 (2005), Section 1.1).

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