Solutions of max-plus linear equations and large deviations
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Publication:6476018
DOI10.1109/CDC.2005.1583420arXivmath/0509279MaRDI QIDQ6476018FDOQ6476018
Authors: Marianne Akian, Stéphane Gaubert, Vassili Kolokoltsov 
Publication date: 13 September 2005
Abstract: We generalise the Gartner-Ellis theorem of large deviations theory. Our results allow us to derive large deviation type results in stochastic optimal control from the convergence of generalised logarithmic moment generating functions. They rely on the characterisation of the uniqueness of the solutions of max-plus linear equations. We give an illustration for a simple investment model, in which logarithmic moment generating functions represent risk-sensitive values.
Large deviations (60F10) Galois correspondences, closure operators (in relation to ordered sets) (06A15) Optimal stochastic control (93E20)
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