Ann. Probab.33(4):1479-1508(July 2005).DOI: 10.1214/009117905000000189
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Abstract
This paper is devoted to the problem of sample path large deviations for the Markov processes on ℝ+N having a constant but different transition mechanism on each boundary set {x:xi=0 fori∉Λ,xi>0 fori∈Λ}. The global sample path large deviation principle and an integral representation of the rate function are derived from local large deviation estimates. Our results complete the proof of Dupuis and Ellis of the sample path large deviation principle for Markov processes describing a general class of queueing networks.
Citation
Irina Ignatiouk-Robert."Large deviations for processes with discontinuous statistics."Ann. Probab.33(4)1479 - 1508,July 2005.https://doi.org/10.1214/009117905000000189
Information
Published: July 2005
First available in Project Euclid: 1 July 2005
zbMATH:1087.60024
MathSciNet:MR2150196
Digital Object Identifier: 10.1214/009117905000000189
Subjects:
Primary: 60F10
Secondary: 60J15, 60K35
Keywords: general upper large deviation bound, processes with discontinuous statistics, sample path large deviations
Rights: Copyright © 2005 Institute of Mathematical Statistics
Irina Ignatiouk-Robert "Large deviations for processes with discontinuous statistics," The Annals of Probability, Ann. Probab. 33(4), 1479-1508, (July 2005)Include: Format:
