 Martingale problems for large deviations of Markov processesJin Feng Stochastic Processes and their Applications, 1999, vol. 81, issue 2, 165-216 Abstract: The martingale problems provide a powerful tool for characterizing Markov processes, especially in addressing convergence issues. For each n, let metric space E-valued process Xn be a solution of the martingale problems (i.e.is a martingale), the convergence of in some sense usually implies the weak convergence of Xn=>X, where X is some process characterized by . Our goal here is to establish similar results for another type of limit theorem - large deviations: defining , thenis a martingale. We prove that the convergence of nonlinear operators implies the large deviation principle for the Xns, where the rate function is characterized by a nonlinear transformation of . Furthermore, a 'running cost' interpretation from control theory can be given to this function. The main assumption is a regularity condition on in the sense that for each , bounded viscosity solution ofis unique. This paper considers processes in CE[0,T]. Keywords: Large; deviations; Martingale; problem; Markov; processes; Control; theory; Viscosity; solutions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:81:y:1999:i:2:p:165-216 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.