The Annals of Probability

Large Deviations for Markov Chains with Random Transitions

Timo Seppalainen

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Abstract

This paper presents almost sure uniform large deviation principles for the empirical distributions and empirical processes of Markov chains with random transitions. The results are derived under assumptions that generalize assumptions earlier used for time-homogeneous chains. The rate functions for the skew chain are expressed in terms of the Donsker-Varadhan functional and relative entropy. The sample chain rates are different, but they have natural upper and lower bounds in terms of familiar rate functions.

Article information

Source
Ann. Probab., Volume 22, Number 2 (1994), 713-748.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176988727

Digital Object Identifier
doi:10.1214/aop/1176988727

Mathematical Reviews number (MathSciNet)
MR1288129

Zentralblatt MATH identifier
0809.60032

JSTOR
links.jstor.org

Subjects
Primary: 60F10: Large deviations
Secondary: 60J05: Discrete-time Markov processes on general state spaces

Keywords
Large deviations Markov chains random transitions random environments

Citation

Seppalainen, Timo. Large Deviations for Markov Chains with Random Transitions. Ann. Probab. 22 (1994), no. 2, 713--748. doi:10.1214/aop/1176988727. https://projecteuclid.org/euclid.aop/1176988727


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