A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain

We prove a representation formula for the rate function of the Large Deviation Principle for the empirical distribution of an irreducible continuous time Markov process on a finite state space. We use this representation to characterize asymptotically efficient intensities for the Monte Carlo evaluation of probabilities of a large deviation for the empirical distribution.

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Year of publication:	1999
Authors:	Baldi, Paolo ; Piccioni, Mauro
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 41.1999, 2, p. 107-115
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005138336