Large deviations for occupation times of Markov processes with $L_{\mathbf{2}}$ semigroups

Naresh Jain; Nicolai Krylov

doi:10.1214/07-aop371

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arXiv · 0707.4469

Large deviations for occupation times of Markov processes with $L_{\mathbf{2}}$ semigroups

Naresh Jain·Nicolai Krylov

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Abstract

Our aim is to unify and extend the large deviation upper and lower bounds for the occupation times of a Markov process with $L_2$ semigroups under minimal conditions on the state space and the process trajectories; for example, no strong Markov property is needed. The methods used here apply in both continuous and discrete time. We present the proofs for continuous time only because of the inherent technical difficulties in that situation; the proofs can be adapted for discrete time in a straightforward manner.

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BibTeX RIS

Naresh Jain, Nicolai Krylov. 2008-09-24. Large deviations for occupation times of Markov processes with $L_{\mathbf{2}}$ semigroups. https://doi.org/10.1214/07-aop371

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