A nonstandard form of the rate function for the occupation measure of a Markov chain

Paul Dupuis and Ofer Zeitouni

Stochastic Processes and their Applications, 1996, vol. 61, issue 2, 249-261

Abstract: We investigate, by means of an example, the large deviations principle for the empirical measure of a Markov chain when Feller continuity properties are not assumed. Using the weak convergence approach, we explicitly compute the resulting rate function, and find that it is not of the Donsker-Varadhan form.

Keywords: Large; deviations; Markov; chains; Occupation; measure; Weak; convergence (search for similar items in EconPapers)
Date: 1996
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