Electronic Journal of Probability

The Principle of Large Deviations for Martingale Additive Functionals of Recurrent Markov Processes

Matthias Heck and Faïza Maaouia

Full-text: Open access

Abstract

We give a principle of large deviations for a generalized version of the strong central limit theorem. This generalized version deals with martingale additive functionals of a recurrent Markov process.

Article information

Source
Electron. J. Probab., Volume 6 (2001), paper no. 8, 26 pp.

Dates
Accepted: 2 March 2001
First available in Project Euclid: 19 April 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1461097638

Digital Object Identifier
doi:10.1214/EJP.v6-81

Mathematical Reviews number (MathSciNet)
MR1831803

Zentralblatt MATH identifier
0974.60012

Subjects
Primary: 60F05: Central limit and other weak theorems 60F10: Large deviations 60F15: Strong theorems
Secondary: 60F17: Functional limit theorems; invariance principles 60J25: Continuous-time Markov processes on general state spaces

Keywords
Central Limit Theorem (CLT) Large Deviations Principle (LDP) Markov Processes Autoregressive Model (AR1) Positive Recurrent Processes Martingale Additive Functional (MAF)

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Heck, Matthias; Maaouia, Faïza. The Principle of Large Deviations for Martingale Additive Functionals of Recurrent Markov Processes. Electron. J. Probab. 6 (2001), paper no. 8, 26 pp. doi:10.1214/EJP.v6-81. https://projecteuclid.org/euclid.ejp/1461097638


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