The sample path large deviations rate function of cumulated i.i.d. continuous-time Markov chains

MaRDI QIDQ2906176zbMATH OpenFDO

Authors K. Majewski

Publication date 5 September 2012

Published in Markov Processes and Related Fields (Search for Journal in Brave)

zbMATH Keywords

integral representationlarge deviation principleMarkoc chainminimizing pathvariational problem

Mathematics Subject Classification ID

Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27) Numerical optimization and variational techniques (65K10)

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Cited in

(4)

• A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain
• Identifying a large deviation rate function
• Analysis of the large deviations rate functions for the finite-dimensional marginal distributions of cumulated i.i.d. continuous-time Markov chains
• How to estimate the rate function of a cumulative process

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