Identifying a Large Deviation Rate Function
Dinwoodie, I. H.
Ann. Probab., Tome 21 (1993) no. 4, p. 216-231 / Harvested from Project Euclid
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Assume a sequence of probabilities $\{P_n\}$ has a large deviation rate function $I$. It is proved that $I$ takes a form analogous to a convex conjugate. If $I$ is also assumed convex, then $I$ is a convex conjugate of an explicitly defined function $\psi$. The results are applied to the empirical law of a Markov chain yielding universal bounds on $I$. Examples are given of Markov chains in which the empirical law has a large deviation rate strictly between the given bounds.
Publié le : 1993-01-14
Classification:  Large deviations,  Markov chain,  60F10 
@article{1176989402,
     author = {Dinwoodie, I. H.},
     title = {Identifying a Large Deviation Rate Function},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 216-231},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989402}
}

Dinwoodie, I. H. Identifying a Large Deviation Rate Function. Ann. Probab., Tome 21 (1993) no. 4, pp.  216-231. http://gdmltest.u-ga.fr/item/1176989402/