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Large Deviation Principle for Markov Chains in Continuous Time

✍ Scribed by A. de La Fortelle


Book ID
110291695
Publisher
SP MAIK Nauka/Interperiodica
Year
2001
Tongue
English
Weight
232 KB
Volume
37
Category
Article
ISSN
0032-9460

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A representation formula for the large d
✍ Paolo Baldi; Mauro Piccioni πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 418 KB

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 evalua