A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain
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Publication:1272995
DOI10.1016/S0167-7152(98)00124-2zbMath0915.60045MaRDI QIDQ1272995
Publication date: 21 June 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Related Items (9)
Asymptotic results for perturbed risk processes with delayed claims ⋮ Functional Large Deviations and Moderate Deviations for Markov-Modulated Risk Models with Reinsurance ⋮ Sample path large and moderate deviations for risk model with delayed claims ⋮ Large Deviations and Uncertainty Relations in Periodically Driven Markov Chains ⋮ Variational and optimal control representations of conditioned and driven processes ⋮ Large deviations of the empirical flow for continuous time Markov chains ⋮ Large deviations for risk processes with reinsurance ⋮ Convergence of large deviation rates based on a link between wave governed random motions and ruin processes ⋮ Large Deviations for Empirical Estimators of the Stationary Distribution of a Semi-Markov Process with Finite State Space
Cites Work
- A function space large deviation principle for certain stochastic integrals
- Importance sampling for continuous time Markov chains and applications to fluid models
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- A large deviation theory proof of the abstract alphabet source coding theorem
- Asymptotic evaluation of certain markov process expectations for large time, I
- Relative entropy between Markov transition rate matrices
- Partially-Finite Programming in $L_1 $ and the Existence of Maximum Entropy Estimates
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