On the upper bound in Varadhan's lemma

DOI10.1016/J.SPL.2015.04.005MaRDI QIDQ893953zbMATH OpenOpenAlexWikidataFDO

Authors H. M. Jansen, Sabine Wittevrongel, M. R. H. Mandjes, Koen De Turck

Publication date 23 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.3568

zbMATH Keywords

large deviations principleupper boundVaradhan's lemmaexponential integrals

Mathematics Subject Classification ID

Large deviations (60F10) Queueing theory (aspects of probability theory) (60K25)

Abstract: In this paper, we generalize the upper bound in Varadhan's Lemma. The standard formulation of Varadhan's Lemma contains two important elements, namely an upper semicontinuous integrand and a rate function with compact sublevel sets. However, motivated by results from queueing theory, we do not assume that rate functions have compact sublevel sets. Moreover, we drop the assumption that the integrand is upper semicontinuous and replace it by a weaker condition. We prove that the upper bound in Varadhan's Lemma still holds under these weaker conditions. Additionally, we show that only measurability of the integrand is required when the rate function is continuous.

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Cites work

• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A large deviations principle for infinite-server queues in a random environment
• Asymptotic probabilities and differential equations
• Large deviations
• Markov-modulated infinite-server queues with general service times
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Cited in

(2)

• Upper and Lower Bounds for a Function Related to Brown's Lemma
• A large deviations principle for infinite-server queues in a random environment

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