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Identification of the rate function for large deviations of an irreducible Markov chain


 
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1. Title Title of document Identification of the rate function for large deviations of an irreducible Markov chain
 
2. Creator Author's name, affiliation, country Wei Liu; Wuhan University
 
2. Creator Author's name, affiliation, country Liming Wu; Université Blaise Pascal
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Large deviations, irreducible Markov processes, Feynman-Kac semigroups
 
3. Subject Subject classification 60F10, 60J05
 
4. Description Abstract For an irreducible Markov chain $(X_n)_{n\ge 0}$ we identify the rate function governing the large deviation estimation of empirical mean $\frac {1}{n} \sum_{k=0}^{n-1} f(X_k)$ by means of the Donsker-Varadhan's entropy. That allows us to obtain the lower bound of large deviations for the empirical measure $\frac {1}{n} \sum_{k=0}^{n-1} \delta_{X_k}$ in full generality
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2009-11-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1512
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1512
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
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