IDENTIFICATION OF THE RATE FUNCTION FOR LARGE DEVIATIONS OF AN IRREDUCIBLE MARKOV CHAIN

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	IDENTIFICATION OF THE RATE FUNCTION FOR LARGE DEVIATIONS OF AN IRREDUCIBLE MARKOV CHAIN
	Liu, Wei 1; Wu, Liming 2,3
	2009-11-29
发表期刊	ELECTRONIC COMMUNICATIONS IN PROBABILITY
ISSN	1083-589X
卷号	14 页码:540-551
摘要	For an irreducible Markov chain (X(n)) n >= 0 we identify the rate function governing the large deviation estimation of empirical mean 1/n Sigma(n-1)(k=0) 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 1/n Sigma(n-1)(k=0) delta(Xk) in full generality.
关键词	Large deviations irreducible Markov processes Feynman-Kac semigroups
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000272620600002
出版者	UNIV WASHINGTON, DEPT MATHEMATICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7132
专题	中国科学院数学与系统科学研究院
通讯作者	Liu, Wei
作者单位	1.Wuhan Univ, Dept Math, Wuhan 430072, Peoples R China 2.Univ Clermont Ferrand, CNRS, Lab Math Appl, UMR 6620, F-63177 Clermont Ferrand, France 3.Chinese Acad Sci, Inst Appl Math, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Liu, Wei,Wu, Liming. IDENTIFICATION OF THE RATE FUNCTION FOR LARGE DEVIATIONS OF AN IRREDUCIBLE MARKOV CHAIN[J]. ELECTRONIC COMMUNICATIONS IN PROBABILITY,2009,14:540-551.
APA	Liu, Wei,&Wu, Liming.(2009).IDENTIFICATION OF THE RATE FUNCTION FOR LARGE DEVIATIONS OF AN IRREDUCIBLE MARKOV CHAIN.ELECTRONIC COMMUNICATIONS IN PROBABILITY,14,540-551.
MLA	Liu, Wei,et al."IDENTIFICATION OF THE RATE FUNCTION FOR LARGE DEVIATIONS OF AN IRREDUCIBLE MARKOV CHAIN".ELECTRONIC COMMUNICATIONS IN PROBABILITY 14(2009):540-551.