The sample path large deviations rate function of cumulated i.i.d. continuous-time Markov chains

MaRDI QIDQ2906176zbMATH OpenFDO

Authors K. Majewski

Publication date 5 September 2012

Published in Markov Processes and Related Fields (Search for Journal in Brave)

zbMATH Keywords

variational problemlarge deviation principleintegral representationminimizing pathMarkoc chain

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27)

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(3)

• How to estimate the rate function of a cumulative process
• Identifying a large deviation rate function
• Analysis of the large deviations rate functions for the finite-dimensional marginal distributions of cumulated i.i.d. continuous-time Markov chains

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