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.
Publié le : 1998-02-14
Classification:
Large deviations,
Markov
processes,
discontinuous
statistics,
60F10,
60J
@article{1027961033,
author = {Alanyali, Murat and Hajek, Bruce},
title = {On large deviations of Markov processes with discontinuous
statistics},
journal = {Ann. Appl. Probab.},
volume = {8},
number = {1},
year = {1998},
pages = { 45-66},
language = {en},
url = {http://dml.mathdoc.fr/item/1027961033}
}
Alanyali, Murat; Hajek, Bruce. On large deviations of Markov processes with discontinuous
statistics. Ann. Appl. Probab., Tome 8 (1998) no. 1, pp. 45-66. http://gdmltest.u-ga.fr/item/1027961033/