The exit path of a Markov chain with rare transitions

Olivier Catoni; Raphaël Cerf

Displaying similar documents to “The exit path of a Markov chain with rare transitions”

The exit path of a Markov chain with rare transitions

Olivier Catoni, Raphaël Cerf (2010)

ESAIM: Probability and Statistics

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We study the exit path from a general domain after the last visit to a set of a Markov chain with rare transitions. We prove several large deviation principles for the law of the succession of the cycles visited by the process (the cycle path), the succession of the saddle points gone through to jump from cycle to cycle on the cycle path (the saddle path) and the succession of all the points gone through (the exit path). We estimate the time the process spends in each cycle of...

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Displaying similar documents to “The exit path of a Markov chain with rare transitions”