Large deviation principles for Markov processes via Phi-Sobolev inequalities

Liming Wu (Wuhan University and Université Blaise Pascal)
Nian Yao (Wuhan University)

Abstract


Via Phi-Sobolev inequalities, we give some sharp integrability conditions on $F$ for the large deviation principle of the empirical mean $\frac{1}{T}{\int_{0}^{T}{F(X_{s})}ds}$ for large time $T$, where $F$ is unbounded with values in some separable Banach space. Several examples are provided.

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Pages: 10-23

Publication Date: January 2, 2008

DOI: 10.1214/ECP.v13-1342

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