A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain

✍ Scribed by Paolo Baldi; Mauro Piccioni

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 418 KB
• Volume: 41
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(98)00124-2

✦ Synopsis

We prove a representation formula for the rate function of the Large Deviation Principle for the empirical distribution of an irreducible continuous time Markov process on a finite state space. We use this representation to characterize asymptotically efficient intensities for the Monte Carlo evaluation of probabilities of a large deviation for the empirical distribution. (~