Discounted additive functionals of Markov processes

Martin Baxter

Annales de l'I.H.P. Probabilités et statistiques (1996)

  • Volume: 32, Issue: 5, page 623-644
  • ISSN: 0246-0203

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Baxter, Martin. "Discounted additive functionals of Markov processes." Annales de l'I.H.P. Probabilités et statistiques 32.5 (1996): 623-644. <http://eudml.org/doc/77549>.

@article{Baxter1996,
author = {Baxter, Martin},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {long term time average; occupation measure of a Markov process; large-deviation results; strong law; central limit theorem},
language = {eng},
number = {5},
pages = {623-644},
publisher = {Gauthier-Villars},
title = {Discounted additive functionals of Markov processes},
url = {http://eudml.org/doc/77549},
volume = {32},
year = {1996},
}

TY - JOUR
AU - Baxter, Martin
TI - Discounted additive functionals of Markov processes
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1996
PB - Gauthier-Villars
VL - 32
IS - 5
SP - 623
EP - 644
LA - eng
KW - long term time average; occupation measure of a Markov process; large-deviation results; strong law; central limit theorem
UR - http://eudml.org/doc/77549
ER -

References

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  1. [1] M.W. Baxter and D. Williams, Symmetry characterizations of certain distributions, 1, Math. Proc. Cambridge Philos. Soc., Vol. 111, 1992, pp. 387-397. Zbl0756.60076MR1142757
  2. [2] M.W. Baxter and D. Williams, Symmetry characterizations of certain distributions, 2: Discounted additive functionals and large deviations, Math. Proc. Cambridge Philos. Soc., Vol. 112, 1992, pp. 599-611. Zbl0777.60013MR1178009
  3. [3] M.W. Baxter, Symmetry characterizations of certain distributions, 3: Discounted additive functionals and large deviations for a general finite-state Markov chain, Math. Proc. Cambridge Philos. Soc., Vol. 113, 1993, pp. 381-386. Zbl0777.60014MR1198419
  4. [4] P. Billingsley, Convergence of Probability Measures, Wiley, 1968. Zbl0172.21201MR233396
  5. [5] N.H. Bingham, C.M. Goldie and J.L. Teugels, Regular Variation, Encyclopedia of Mathematics and its Applications, Vol. 27, Cambridge University Press, 1987. Zbl0617.26001MR898871
  6. [6] J.-D. Deuschel and D.W. Stroock, Large deviations, Academic Press, 1989. Zbl0705.60029MR997938
  7. [7] R.S. Ellis, Large deviations for a general class of random vectors, Ann. Probab., Vol. 12, 1984, pp. 1-12. Zbl0534.60026MR723726
  8. [8] T. Kato, A Short Introduction to Perturbation Theory for Linear Operators, Springer-Verlag, 1982. Zbl0493.47008MR678094
  9. [9] Y. Kifer, Averaging in Dynamical Systems and Large Deviations, Inventiones Math., Vol. 110, 1992, pp. 337-370. Zbl0791.58072MR1185587
  10. [10] L.C.G. Rogers and D. Williams, Diffusions, Markov Processes and Martingales, Vol. 2: Itô calculus, Wiley, 1987. Zbl0627.60001MR921238
  11. [11] E. Seneta, Non-negative Matrices, an Introduction to Theory and Applications, Allen and Unwin, 1973. Zbl0278.15011MR389944
  12. [12] D. Williams, Diffusions, Markov Processes and Martingales, Vol. 1: Foundations, Wiley, 1979. Zbl0402.60003MR531031

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