Large deviations for vector-valued functionals of a Markov chain: Lower bounds (Q1110900): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1214/aop/1176991670 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2068501723 / rank | |||
Normal rank |
Revision as of 21:42, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Large deviations for vector-valued functionals of a Markov chain: Lower bounds |
scientific article |
Statements
Large deviations for vector-valued functionals of a Markov chain: Lower bounds (English)
0 references
1988
0 references
Let \(X_ 0,X_ 1,..\). be a Markov chain with general state space S and transition probability \(\pi\). Let E be a topological vector space and f: \(S\to E\). Under certain assumptions on E and f and the irreducibility of \(\pi\), lower bounds of the type \[ \lim_{n\to \infty}\inf n^{-1}\log P_ x\{n^{-1}\sum^{n-1}_{k=0}f(X_ k)\in G\}=-\inf_{u\in G} \lambda (u) \] are obtained. Here G is an open subset of E, \(x\in S\), \(\lambda\) is the convex conjugate \(of\quad \phi (\xi)=-\log R(K_{\xi}),\quad \xi \in E^*,\) and \(R(K_{\xi})\) is the convergence parameter of the kernel \[ K_{\xi}(x,A)=\int_{A}e^{<\xi,f(y)>}\pi (x,dy). \] Essential tools in the proof are properties of irreducible kernels, especially a continuity property of the convergence parameter and the approximation by quasinilpotent kernels. As an application, lower bounds for large deviations of occupation times of Markov chains are derived under somewhat weaker assumptions than those of \textit{M. D. Donsker} and \textit{S. R. S. Varadhan} [Commun. Pure Appl. Math. 29, 389-461 (1976; Zbl 0348.60032)]. An ergodic theorem for Banach space-valued functionals of a Markov chain and a continuity result for the Fenchel transform are also proved.
0 references
properties of irreducible kernels
0 references
continuity property of the convergence parameter
0 references
large deviations
0 references
ergodic theorem for Banach space-valued functionals
0 references
Fenchel transform
0 references