A nonstandard form of the rate function for the occupation measure of a Markov chain

We investigate, by means of an example, the large deviations principle for the empirical measure of a Markov chain when Feller continuity properties are not assumed. Using the weak convergence approach, we explicitly compute the resulting rate function, and find that it is not of the Donsker-Varadhan form.

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Year of publication:	1996
Authors:	Dupuis, Paul ; Zeitouni, Ofer
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 61.1996, 2, p. 249-261
Publisher:	Elsevier
Keywords:	Large deviations Markov chains Occupation measure Weak convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874076