Large Deviations for Past-Dependent Recursions

Details Large Deviations for Past-Dependent Recursions Large Deviations for Past-Dependent Recursions

2006-03-16

arxiv.org/abs/math/0603407v1

published in ``Problems of Information Transmission'', 1996, No. 4, pp. 23--34

Mathematics

Probability

Revised version

Scientific paper

The Large Deviation Principle is established for stochastic models defined by
past-dependent non linear recursions with small noise. In the Markov case we
use the result to obtain an explicit expression for the asymptotics of exit
time.

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