Problems of Information Transmission

, Volume 37, Issue 2, pp 120–139

Large Deviation Principle for Markov Chains in Continuous Time

  • A. de La Fortelle
Article

DOI: 10.1023/A:1010470024888

Cite this article as:
de La Fortelle, A. Problems of Information Transmission (2001) 37: 120. doi:10.1023/A:1010470024888

Abstract

Let Yt be a homogeneous nonexplosive Markov process with generator R defined on a denumerable state space E (not necessarily ergodic). We introduce the empirical generatorGt of Yt and prove the Ruelle–Lanford property, which implies the weak LDP. In a fairly broad setting, we show how to perform almost all classical operations (e.g., contraction) on the weak LDP under suitable assumptions, whence Sanov's theorem follows.

Copyright information

© MAIK “Nauka/Interperiodica” 2001

Authors and Affiliations

  • A. de La Fortelle

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