Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case) (Q1344658)

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Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case)
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    Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case) (English)
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    21 August 1995
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    Exponential tightness and the fact that it implies the large deviation principle (LDP) for subsequences are used to prove LDP of average for unbounded additive functionals \(g(\xi_ k)\) of an ergodic Markov process \(\xi_ k\) with real line as its state space. The proof is based on the LDP of empirical measures \({1 \over n} \sum^ n_{k=1} \delta_{ \xi_ k}\), due to Donsker and Varadhan. Examples in Section 3 of the paper apply the main theorem to Markov processes defined by nonlinear recursions. Explicit sufficient growth conditions for \(g (\cdot)\) are given.
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    large deviation principle
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    additive functionals
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    empirical measures
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