Moderate Deviation Principle for Ergodic Markov Chain. Lipschitz Summands

Bernard Delyon (), Anatoly Juditsky () and Robert Liptser ()
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Bernard Delyon: Université de Rennes 1, IRISA
Anatoly Juditsky: University Joseph Fourier of Grenoble
Robert Liptser: Tel Aviv University, Department of Electrical Engineering-Systems

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 189-209 from Springer

Keywords: Markov Chain; Invariant Measure; Poisson Equation; Gaussian Random Variable; Dependent Random Variable (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/978-3-540-30788-4_9

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