Large deviations for processes with discontinuous statistics

Details Large deviations for processes with discontinuous statistics Large deviations for processes with discontinuous statistics

2004-09-21

arxiv.org/abs/math/0409392v2

Annals of Probability 2005, Vol. 33, No. 4, 1479-1508

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117905000000189 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117905000000189

This paper is devoted to the problem of sample path large deviations for the Markov processes on R_+^N having a constant but different transition mechanism on each boundary set {x:x_i=0 for i\notin\Lambda, x_i>0 for i\in\Lambda}. The global sample path large deviation principle and an integral representation of the rate function are derived from local large deviation estimates. Our results complete the proof of Dupuis and Ellis of the sample path large deviation principle for Markov processes describing a general class of queueing networks.

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