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Large Deviations for the Emprirical Measures of Reflecting Brownian Motion and Related Constrained Processes in $R_+$


 
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1. Title Title of document Large Deviations for the Emprirical Measures of Reflecting Brownian Motion and Related Constrained Processes in $R_+$
 
2. Creator Author's name, affiliation, country Amarjit Budhiraja; University of North Carolina at Chapel Hill
 
2. Creator Author's name, affiliation, country Paul Dupuis; Brown University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Markov process, constrained process, large deviations, empirical measure, stability, reflecting Brownian motion.
 
3. Subject Subject classification 60F10; 60J25; 93E20
 
4. Description Abstract We consider the large deviations properties of the empirical measure for one dimensional constrained processes, such as reflecting Brownian motion, the M/M/1 queue, and discrete time analogues. Because these processes do not satisfy the strong stability assumptions that are usually assumed when studying the empirical measure, there is significant probability (from the perspective of large deviations) that the empirical measure charges the point at infinity. We prove the large deviation principle and identify the rate function for the empirical measure for these processes. No assumption of any kind is made with regard to the stability of the underlying process.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NSF, ARO
 
7. Date (YYYY-MM-DD) 2003-09-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/154
 
10. Identifier Digital Object Identifier 10.1214/EJP.v8-154
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 8
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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