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February 1998 On large deviations of Markov processes with discontinuous statistics
Murat Alanyali, Bruce Hajek
Ann. Appl. Probab. 8(1): 45-66 (February 1998). DOI: 10.1214/aoap/1027961033

Abstract

This paper establishes a process-level large deviations principle for Markov processes in the Euclidean space with a discontinuity in the transition mechanism along a hyperplane. The transition mechanism of the process is assumed to be continuous on one closed half-space and also continuous on the complementary open half-space. Similar results were recently obtained for discrete time processes by Dupuis and Ellis and by Nagot. Our proof relies on the work of Blinovskii and Dobrushin, which in turn is based on an earlier work of Dupuis and Ellis.

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Murat Alanyali. Bruce Hajek. "On large deviations of Markov processes with discontinuous statistics." Ann. Appl. Probab. 8 (1) 45 - 66, February 1998. https://doi.org/10.1214/aoap/1027961033

Information

Published: February 1998
First available in Project Euclid: 29 July 2002

zbMATH: 0936.60021
MathSciNet: MR1620409
Digital Object Identifier: 10.1214/aoap/1027961033

Subjects:
Primary: 60F10
Secondary: 60J

Keywords: discontinuous statistics , large deviations , Markov processes

Rights: Copyright © 1998 Institute of Mathematical Statistics

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Vol.8 • No. 1 • February 1998
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