Multiplicative ergodicity and large deviations for an irreducible Markov chain.
From MaRDI portal
Publication:1879486
DOI10.1016/S0304-4149(00)00032-6zbMATH Open1046.60065MaRDI QIDQ1879486FDOQ1879486
Authors: Yanyan Li 
Publication date: 22 September 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Recommendations
- Identification of the rate function for large deviations of an irreducible Markov chain
- Large deviations for vector-valued functionals of a Markov chain: Lower bounds
- Large deviations for additive functionals of Markov chains
- Large deviations for the empirical measure of a Markov chain with an application to the multivariate empirical measure
- Large deviations for empirical measures of not necessarily irreducible countable Markov chains with arbitrary initial measures
Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15)
Cites Work
- Markov chains and stochastic stability
- General Irreducible Markov Chains and Non-Negative Operators
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Liapounov bound for solutions of the Poisson equation
- Non-negative matrices and Markov chains. 2nd ed
- Title not available (Why is that?)
- Markov additive processes. I: Eigenvalue properties and limit theorems
- Markov additive processes. II: Large deviations
- Title not available (Why is that?)
- Subadditive ergodic theory
- Title not available (Why is that?)
- Large deviations for empirical measures of Markov chains
- Title not available (Why is that?)
Cited In (36)
- Existence of bounded solutions to multiplicative Poisson equations under mixing property
- Markov decision processes under risk sensitivity: a discount vanishing approach
- Identification of the rate function for large deviations of an irreducible Markov chain
- Characterization of the Optimal Risk-Sensitive Average Cost in Denumerable Markov Decision Chains
- Vanishing discount approximations in controlled Markov chains with risk-sensitive average criterion
- Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process
- Risk-sensitive average Markov decision processes in general spaces
- Large deviation asymptotics and control variates for simulating large functions
- Denumerable Markov stopping games with risk-sensitive total reward criterion.
- The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion
- Ergodic risk-sensitive control of Markov processes on countable state space revisited
- Convergence of value functions for finite horizon Markov decision processes with constraints
- Approximating a diffusion by a finite-state hidden Markov model
- On tight bounds for function approximation error in risk-sensitive reinforcement learning
- Discounted approximations to the risk-sensitive average cost in finite Markov chains
- Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion
- Nonzero-Sum Risk-Sensitive Stochastic Games on a Countable State Space
- Nonzero-sum risk-sensitive average stochastic games: The case of unbounded costs
- Phase transitions and metastability in Markovian and molecular systems
- Hoeffding's inequality for uniformly ergodic Markov chains
- Asymptotic behavior of random coefficient INAR model under random environment defined by difference equation
- Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space
- Algorithms for optimization and stabilization of controlled Markov chains.
- Risk-Sensitive Average Optimality for Discrete-Time Markov Decision Processes
- Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
- Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Characterization of the optimal average cost in Markov decision chains driven by a risk-seeking controller
- Convergence of moments in a Markov-chain central limit theorem
- \(V\)-uniform ergodicity for state-dependent single class queueing networks
- Geometric ergodicity in a weighted Sobolev space
- Large deviations for additive functionals of Markov chains
- A sensitivity formula for risk-sensitive cost and the actor-critic algorithm
- Average optimality for risk-sensitive control with general state space
- Discounted approximations in risk-sensitive average Markov cost chains with finite state space
- Large deviations for the empirical measure and empirical flow of Markov renewal processes with a countable state space
This page was built for publication: Multiplicative ergodicity and large deviations for an irreducible Markov chain.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1879486)
