Large deviations for excursions of non-homogeneous Markov processes

DOI10.1214/ECP.V19-3289zbMATH Open1320.60080arXiv1203.4004MaRDI QIDQ457785FDOQ457785

Authors: Anatoli Yambartsev, Anatoli Mogulskii, Eugene Pechersky 

Publication date: 29 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In this paper, the large deviations on trajectory level for ergodic Markov processes are studied. These processes take values in the non-negative quadrant of the two dimension lattice and are concentrated on step-wise functions. The rates of jumps towards the axes (jump down) depend on the position of the process -- the higher the position, the greater the rate. The rates of jumps going in the same direction as the axes (jump up) are constants. Therefore the processes are ergodic. The large deviations are studied under equal scalings of both space and time. The scaled versions of the processes converge to 0. The main result is that the probabilities of long excursions out of 0 tend to 0 exponentially fast with an exponent proportional to the square of the scaling parameter. A proportionality coefficient is an integral of a linear combination of path components. A rate function of the large deviation principle is calculated for continuous functions only.

Full work available at URL: https://arxiv.org/abs/1203.4004

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zbMATH Keywords

excursionslarge deviationsnon-homogeneous Markov processes

Mathematics Subject Classification ID

Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27)

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