Identification of the rate function for large deviations of an irreducible Markov chain.

Liu, Wei; Wu, Liming

Displaying similar documents to “Identification of the rate function for large deviations of an irreducible Markov chain.”

General state space Markov chains and MCMC algorithms.

Roberts, Gareth O., Rosenthal, Jeffrey S. (2004)

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Relative entropy and waiting times for continuous-time Markov processes.

Chazottes, Jean-René, Giardina, Cristian, Redig, Frank (2006)

Electronic Journal of Probability [electronic only]

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On the existence of recurrent extensions of self-similar Markov processes.

Fitzsimmons, Patrick J. (2006)

Electronic Communications in Probability [electronic only]

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Average convergence rate of the first return time

Geon Choe, Dong Kim (2000)

Colloquium Mathematicae

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The convergence rate of the expectation of the logarithm of the first return time $R_{n}$ , after being properly normalized, is investigated for ergodic Markov chains. I. Kontoyiannis showed that for any β > 0 we have $l o g [R_{n} (x) P_{n} (x)] = o (n^{β})$ a.s. for aperiodic cases and A. J. Wyner proved that for any ε >0 we have $- (1 + ε) l o g n \leq l o g [R_{n} (x) P_{n} (x)] \leq l o g l o g n$ eventually, a.s., where $P_{n} (x)$ is the probability of the initial n-block in x. In this paper we prove that $E [l o g R_{(L, S)} - (L - 1) h]$ converges to a constant depending only on the process where $R_{(L, S)}$ is the modified first return...

A regeneration proof of the central limit theorem for uniformly ergodic Markov chains.

Bednorz, Witold, Latuszynski, Krzysztof, Latala, Rafal (2008)

Electronic Communications in Probability [electronic only]

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Renewal convergence rates and correlation decay for homogeneous pinning models.

Giacomin, Giambattista (2008)

Electronic Journal of Probability [electronic only]

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Feynman-Kac penalisations of symmetric stable processes.

Takeda, Masayoshi (2010)

Electronic Communications in Probability [electronic only]

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On the core property of the cylinder functions class in the construction of interacting particle systems

Anja Voss-Böhme (2011)

Kybernetika

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For general interacting particle systems in the sense of Liggett, it is proven that the class of cylinder functions forms a core for the associated Markov generator. It is argued that this result cannot be concluded by straightforwardly generalizing the standard proof technique that is applied when constructing interacting particle systems from their Markov pregenerators.

On a role of predictor in the filtering stability.

Chigansky, Pavel, Liptser, Robert (2006)

Electronic Communications in Probability [electronic only]

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