The duality-related point of view of Hoeffding for i.i.d. large deviations is extended to the Markov case. This reconciles Koopmans' "function-analytic" view of Markovian large deviations with Boza's "information theoretic" view, and extends the validity of the latter to the not-necessarily-finite case.
Publié le : 1979-10-14
Classification:
Large deviations,
Markov process,
information,
mathematical programming,
duality,
60F19,
60J05
@article{1176994947,
author = {Kim, Geung-Ho and David, H. T.},
title = {Large Deviations of Functions of Markovian Transitions and Mathematical Programming Duality},
journal = {Ann. Probab.},
volume = {7},
number = {6},
year = {1979},
pages = { 874-881},
language = {en},
url = {http://dml.mathdoc.fr/item/1176994947}
}
Kim, Geung-Ho; David, H. T. Large Deviations of Functions of Markovian Transitions and Mathematical Programming Duality. Ann. Probab., Tome 7 (1979) no. 6, pp. 874-881. http://gdmltest.u-ga.fr/item/1176994947/