Large deviations for unbounded additive functionals of a Markov process with discrete time (noncompact case). (1994)

• Record Type: Journal Article
• Authors: Gulinskii, O. V.; Lipster, Robert S.; Lototskii, S. V.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 7:Number 3(1994)
• Page Start: 423
• Page End: 436
• Publication Date: 1994
• Subjects: exponential tightness -- large deviations -- contraction principle; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953394000341
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : We combine the Donsker and Varadhan large deviation principle (l.d.p) for the occupation measure of a Markov process with certain results of Deuschel and Stroock, to obtain the l.d.p. for unbounded functionals. Our approach relies on the concept of exponential tightness and on the Puhalskii theorem. Three illustrative examples are considered.