Large deviations with diminishing rates

Large deviations with diminishing rates

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Article ID: iaor20061365
Country: United States
Volume: 30
Issue: 2
Start Page Number: 281
End Page Number: 310
Publication Date: May 2005
Journal: Mathematics of Operations Research
Authors: ,
Abstract:

The theory of large deviations for jump Markov processes has been generally proved only when jump rates are bounded below, away from zero. Yet, various applications of interest do not satisfy this condition. We describe several classes of models where jump rates diminish to zero in a Lipschitz continuous way. Under appropriate conditions, we prove that the sample path large deviations principle continues to hold. Under our conditions, the rate function remains an integral over a local rate function, which retains its standard representation.

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