We consider a continuous time Markov chain on a countable state space and prove a joint large deviation principle for the empirical measure and the empirical flow, which accounts for the total number of jumps between pairs of states. We give a direct proof using tilting and an indirect one by contraction from the empirical process.
Large deviations of the empirical flow for continuous time Markov chains / BERTINI MALGARINI, Lorenzo; Faggionato, Alessandra; D., Gabrielli. - In: ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES. - ISSN 0246-0203. - STAMPA. - 51:(2015), pp. 867-900. [10.1214/14-AIHP601]
Large deviations of the empirical flow for continuous time Markov chains
BERTINI MALGARINI, Lorenzo;FAGGIONATO, ALESSANDRA;
2015
Abstract
We consider a continuous time Markov chain on a countable state space and prove a joint large deviation principle for the empirical measure and the empirical flow, which accounts for the total number of jumps between pairs of states. We give a direct proof using tilting and an indirect one by contraction from the empirical process.| File | Dimensione | Formato | |
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