On the upper bound in Varadhan's lemma

DOI10.1016/J.SPL.2015.04.005zbMATH Open1328.60077arXiv1411.3568OpenAlexW2021177494WikidataQ124802316 ScholiaQ124802316MaRDI QIDQ893953FDOQ893953

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)

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.

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

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zbMATH Keywords

large deviations principleupper boundVaradhan's lemmaexponential integrals

Mathematics Subject Classification ID

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

Cites Work

• A large deviations principle for infinite-server queues in a random environment
• The M/M/∞ queue in a random environment
• Title not available (Why is that?)
• Markov-modulated infinite-server queues with general service times
• Large deviations
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• Asymptotic probabilities and differential equations

Cited In (2)

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

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