Multiplicative ergodicity and large deviations for an irreducible Markov chain
The paper examines multiplicative ergodic theorems and the related multiplicative Poisson equation for an irreducible Markov chain on a countable state space. The partial products are considered for a real-valued function on the state space. If the function of interest satisfies a monotone condition, or is dominated by such a function, then 1. The mean normalized products converge geometrically quickly to a finite limiting value. 2. The multiplicative Poisson equation admits a solution. 3. Large deviation bounds are obtainable for the empirical measures.
Year of publication: |
2000
|
---|---|
Authors: | Balaji, S. ; Meyn, S. P. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 90.2000, 1, p. 123-144
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Publisher: |
Elsevier |
Keywords: | Markov chain Ergodic theory Harmonic functions Large deviations |
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