A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain

Paolo Baldi and Mauro Piccioni

Statistics & Probability Letters, 1999, vol. 41, issue 2, 107-115

Abstract: We prove a representation formula for the rate function of the Large Deviation Principle for the empirical distribution of an irreducible continuous time Markov process on a finite state space. We use this representation to characterize asymptotically efficient intensities for the Monte Carlo evaluation of probabilities of a large deviation for the empirical distribution.

Date: 1999
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