Solutions of max-plus linear equations and large deviations

Details Solutions of max-plus linear equations and large deviations Solutions of max-plus linear equations and large deviations

2005-09-13

arxiv.org/abs/math/0509279v1

Proc. of the joint 44th IEEE Conference on Decision and Control, 2005 and 2005 European Control Conference (CDC-ECC '05), 12-1

Mathematics

Probability

6 pages

Scientific paper

We generalise the Gartner-Ellis theorem of large deviations theory. Our results allow us to derive large deviation type results in stochastic optimal control from the convergence of generalised logarithmic moment generating functions. They rely on the characterisation of the uniqueness of the solutions of max-plus linear equations. We give an illustration for a simple investment model, in which logarithmic moment generating functions represent risk-sensitive values.

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