Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

DOI10.1016/J.SPL.2013.12.023zbMath1296.60185arXiv1312.5661OpenAlexW2067470390MaRDI QIDQ2452875

Alain Le Breton, Bernard Ycart, Marina Kleptsyna

Publication date: 5 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.5661

zbMATH Keywords

Laplace transformGauss-Markov processesmultiplicative ergodicity

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Laplace transform (44A10)

Related Items (2)

Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes ⋮ Exponential Growth of Bifurcating Processes with Ancestral Dependence

Cites Work

• Markov chains and stochastic stability
• New formulas concerning Laplace transforms of quadratic forms for general Gaussian sequences
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• Multiplicative ergodicity and large deviations for an irreducible Markov chain.
• Large deviation asymptotics and control variates for simulating large functions
• Exponential Growth of Bifurcating Processes with Ancestral Dependence

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