Joint density for the local times of continuous-time Markov chains

DOI10.1214/009171906000001024zbMATH Open1127.60076arXivmath/0611525OpenAlexW3105645073MaRDI QIDQ2373567FDOQ2373567

Authors: David Brydges, Remco van der Hofstad, W. König 

Publication date: 12 July 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We investigate the local times of a continuous-time Markov chain on an arbitrary discrete state space. For fixed finite range of the Markov chain, we derive an explicit formula for the joint density of all local times on the range, at any fixed time. We use standard tools from the theory of stochastic processes and finite-dimensional complex calculus. We apply this formula in the following directions: (1) we derive large deviation upper estimates for the normalized local times beyond the exponential scale, (2) we derive the upper bound in Varadhan's lemma for any measurable functional of the local times, and (3) we derive large deviation upper bounds for continuous-time simple random walk on large subboxes of $mathbb{Z}^d$ tending to $mathbb{Z}^d$ as time diverges. We finally discuss the relation of our density formula to the Ray--Knight theorem for continuous-time simple random walk on $mathbbZ$, which is analogous to the well-known Ray--Knight description of Brownian local times.

Full work available at URL: https://arxiv.org/abs/math/0611525

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zbMATH Keywords

densitylocal timesRay-Knight theoremVaradhan's lemmalarge deviation upper bound

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Local time and additive functionals (60J55)

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Cited In (8)

• Explicit formula for the density of local times of Markov jump processes
• Annealed scaling for a charged polymer in dimensions two and higher
• Estimating the counterparty risk exposure by using the Brownian motion local time
• Self-intersection local times of random walks: exponential moments in subcritical dimensions
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• The universality classes in the parabolic Anderson model
• The geometry of random walk isomorphism theorems
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