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: | Shwartz Adam, Weiss Alan |
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.