A system of Poisson equations for a nonconstant Varadhan functional on a finite state space (Q2492880)

The paper studies the characterization of Varadhan's functional associated to an arbitrary finite-state stationary Markov chain by means of a system of Poisson equations. It is known that when the state space forms a communicating class, Varadhan's functional is constant and can be characterized by the solution to a single Poisson equation. However, when the class of transient states is not empty, this is no longer true. It is shown that in the general case Varadhan's functional can be characterized by a system of Poisson equations associated to a partition of the state space. Each equation is called a local Poisson equation and determines the value of Varadhan's functional in the corresponding element of the partition. The paper provides also a constructive proof of the fact that the solution to the system of local Poisson equations always exists.