Large deviations for processes with discontinuous statistics

• 成果类型: Article
• 署名作者: Ignatiouk-Robert, I
• 署名单位: CY Cergy Paris Universite
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117905000000189
• 发表日期: 2005
• 页码: 1479-1508
• 关键词: markov-processes; networks; systems

摘要

This paper is devoted to the problem of sample path large deviations for the Markov processes on RN having a constant but different transition mechanism oil each boundary set {x: x(i) = 0 for i is not an element of Lambda, x(i) > 0 for i is an element of Lambda). The global sample path large deviation principle and an integral representation of the rate function are derived from local large deviation estimates. Our results complete the proof of Dupuis and Ellis of the sample path large deviation principle for Markov processes describing a general class of queueing networks.