Extended Laplace principle for empirical measures of a Markov chain

DOI10.1017/APR.2019.6MaRDI QIDQ5203894zbMATH OpenOpenAlexWikidataFDO

Authors Stephan Eckstein

Publication date 9 December 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.02278

zbMATH Keywords

convex dualitydistributional uncertaintylarge deviationsMarkov chain

Mathematics Subject Classification ID

Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: We consider discrete time Markov chains with Polish state space. The large deviations principle for empirical measures of a Markov chain can equivalently be stated in Laplace principle form, which builds on the convex dual pair of relative entropy (or Kullback-Leibler divergence) and cumulant generating functional $fmapstolnintexp(f)$. Following the approach by Lacker in the i.i.d. case, we generalize the Laplace principle to a greater class of convex dual pairs. We present in depth one application arising from this extension, which includes large deviations results and a weak law of large numbers for certain robust Markov chains - similar to Markov set chains - where we model robustness via the first Wasserstein distance. The setting and proof of the extended Laplace principle are based on the weak convergence approach to large deviations by Dupuis and Ellis.

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