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Mixing times are hitting times of large sets. (English) Zbl 1323.60094
Summary: We consider irreducible reversible discrete time Markov chains on a finite state space. Mixing times and hitting times are fundamental parameters of the chain. We relate them by showing that the mixing time of the lazy chain is equivalent to the maximum over initial states \(x\) and large sets \(A\) of the hitting time of \(A\) starting from \(x\). We also prove that the first time when averaging over two consecutive time steps is close to stationarity is equivalent to the mixing time of the lazy version of the chain.

MSC:
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
60G40 Stopping times; optimal stopping problems; gambling theory
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