Asymptotic Theory of Large Deviations for Markov Chains

DOI10.1137/S003613999630051MaRDI QIDQ4210068zbMATH OpenOpenAlexFDO

Authors Gilad Lerman, Zeev Schuss

Publication date 20 September 1998

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s003613999630051

zbMATH Keywords

asymptotic expansion of densitieslarge deviationsMarkov chains

Mathematics Subject Classification ID

Theoretical approximation of solutions to integral equations (45L05) Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

Let \(p_n(x,y)\) denote the density function of a real-valued stationary ergodic Markov chain \(X_n\) and its sample averages \(Y_n:={1\over n}\sum_{k=1}^n X_k\), i.e., \(p_n(x,y) dx dy=P(X_n\in dx, Y_n\in dy)\). This paper deals with the formal asymptotic expansion \[ p_n(x,y)=e^{-n\psi(n)}\sqrt{n} \Big[q^0(x,y)+ {q^1(x,y)\over n}+{q^2(x,y)\over n^2}+\cdots\Big]. \] Here, \(\psi\) is the classical large deviation rate function. The coefficients \(q^0(x,y)\) and \(q^1(x,y)\) are calculated explicitly, and an algorithm is proposed in order to deal with the higher order terms.

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