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Large Deviations for Markov Chains with Random Transitions

Timo Seppalainen
The Annals of Probability
Vol. 22, No. 2 (Apr., 1994), pp. 713-748
Stable URL: http://www.jstor.org/stable/2244891
Page Count: 36
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Large Deviations for Markov Chains with Random Transitions
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Abstract

This paper presents almost sure uniform large deviation principles for the empirical distributions and empirical processes of Markov chains with random transitions. The results are derived under assumptions that generalize assumptions earlier used for time-homogeneous chains. The rate functions for the skew chain are expressed in terms of the Donsker-Varadhan functional and relative entropy. The sample chain rates are different, but they have natural upper and lower bounds in terms of familiar rate functions.

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