Stochastic Sub-Additivity Approach to the Conditional Large Deviation Principle
Chi, Zhiyi
Ann. Probab., Tome 29 (2001) no. 1, p. 1303-1328 / Harvested from Project Euclid
Given two Polish spaces $A_X$ and $A_Y$, let $\rho : A_X \times A_Y \to \mathbb{R}^d$ be a bounded measurable function. Let $X = {X_n : n \geq 1}$ and $Y = {Y_n : n \geq 1}$ be two independent stationary processes on $A_X^{\infty}$ and $A_Y^{\infty}$, respectively. The article studies the large deviation principle (LDP) for $n^{-1} \sum_{k=1}^n \rho(X_k, Y_k)$, conditional on $X$. Based on a stochastic version of approximate subadditivity, it is shown that if Y satisfies certain mixing condition, then for almost all random realization $x$ of $X$, the laws of $n^{-1} \sum_{k=1}^n \rho(x_k, Y_k)$ satisfy the conditional LDP with a non-random convex rate funcion. Conditions for the rate function to be non-trivial (that is, not $0/\infty$ function) are also given.
Publié le : 2001-07-14
Classification:  Conditional large deviation principle,  stochastic approximate subadditivity,  mixing conditions,  60F10,  94A34
@article{1015345604,
     author = {Chi, Zhiyi},
     title = {Stochastic Sub-Additivity Approach to the Conditional Large
 Deviation Principle},
     journal = {Ann. Probab.},
     volume = {29},
     number = {1},
     year = {2001},
     pages = { 1303-1328},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1015345604}
}
Chi, Zhiyi. Stochastic Sub-Additivity Approach to the Conditional Large
 Deviation Principle. Ann. Probab., Tome 29 (2001) no. 1, pp.  1303-1328. http://gdmltest.u-ga.fr/item/1015345604/