On evaluating the Donsker-Varadhan I-function (Q1085515): Difference between revisions

Let \(L_ t(\omega,B)=\int^{t}_{0}1_ B(x_ t(\omega))dt\) be the occupation measure of a Feller process \(x_ t(\omega)\) on a complete metric space A. The I-function is defined on the set \({\mathcal P}(A)\) of probability measures \(\mu\) on A by \(I(\mu)=-\inf \int_{A}(Lu/u)d\mu\), where L is the generator of the process and the infimum is taken over all strictly positive functions u in the domain of L. This function I determines the asymptotic rate of decay of \(P(L_ t/t\in G)\), \(G\in {\mathcal P}(A)\) [see \textit{M. D. Donsker} and \textit{S. R. S. Varadhan}, Commun. Pure Appl. Math. 28, 1-47 (1975; Zbl 0323.60069) and ibid. 29, 389-461 (1976; Zbl 0348.60032)], a problem being that in general the domain of L is not known explicitly, so that the infimum cannot be calculated. The author supplies a result which allows to restrict the calculation to a convenient subdomain. It can be applied at least to diffusions with boundaries.