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Empirical Measure of a Markov Chain

  • Amarjit BudhirajaEmail author
  • Paul Dupuis
Chapter
Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 94)

Abstract

In this chapter we develop the large deviation theory for the empirical measure of a Markov chain, thus generalizing Sanov’s theorem from Chap.  3. The ideas developed here are useful in other contexts, such as proving sample path large deviation properties of processes with multiple time scales as described in Sect.  7.3.

Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of Statistics and Operations ResearchUniversity of North CarolinaChapel HillUSA
  2. 2.Division of Applied MathematicsBrown UniversityProvidenceUSA

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