Joint density for the local times of continuous-time Markov chains: Extended version
From MaRDI portal
Publication:6476265
arXivmath/0511169MaRDI QIDQ6476265FDOQ6476265
Authors: David Brydges, Remco van der Hofstad, W. König 
Publication date: 7 November 2005
Abstract: We investigate the local times of a continuous-time Markov chain on an arbitrary discrete state space. For fixed finite range of the Markov chain, we derive an explicit formula for the joint density of all local times on the range, at any fixed time. We use standard tools from the theory of stochastic processes and finite-dimensional complex calculus. We apply this formula in the following directions: (1) we derive large deviation upper estimates for the normalized local times beyond the exponential scale, (2) we derive the upper bound in Varadhan's chwk{l}emma for any measurable functional of the local times, ch{and} (3) we derive large deviation upper bounds for continuous-time simple random walk on large subboxes of tending to as time diverges. We finally discuss the relation of our density formula to the Ray-Knight theorem for continuous-time simple random walk on , which is analogous to the well-known Ray-Knight description of Brownian local times. In this extended version, we prove that the Ray-Knight theorem follows from our density formula.
Continuous-time Markov processes on discrete state spaces (60J27) Local time and additive functionals (60J55) Exterior algebra, Grassmann algebras (15A75)
This page was built for publication: Joint density for the local times of continuous-time Markov chains: Extended version
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6476265)
