Extended Laplace principle for empirical measures of a Markov chain

DOI10.1017/apr.2019.6zbMath1427.60145arXiv1709.02278OpenAlexW2752253138WikidataQ127453424 ScholiaQ127453424MaRDI QIDQ5203894

Stephan Eckstein

Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.02278

zbMATH Keywords

Markov chainlarge deviationsconvex dualitydistributional uncertainty

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Large deviations (60F10)

Related Items (10)

Robust identification of investor beliefs ⋮ A characterization of transportation-information inequalities for Markov processes in terms of dimension-free concentration ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ Representation of weakly maxitive monetary risk measures and their rate functions ⋮ A non-exponential extension of Sanov’s theorem via convex duality ⋮ Law invariant risk measures and information divergences ⋮ Extended Laplace principle for empirical measures of a Markov chain ⋮ Conditional nonlinear expectations ⋮ Large deviations built on max-stability ⋮ Limits of random walks with distributionally robust transition probabilities

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