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Large deviations for a Markov chain in a random landscape

Published online by Cambridge University Press:  01 July 2016

Nadine Guillotin-Plantard*
Affiliation:
Université Claude Bernard Lyon 1
*
Postal address: Université Claude Bernard Lyon 1, LaPCS, 50 avenue Tony Garnier, Domaine de Gerland, 69366 Lyon Cedex 07, France. Email address: [email protected]

Abstract

Let (Sk)k≥0 be a Markov chain with state space E and (ξx)xE be a family of ℝp-valued random vectors assumed independent of the Markov chain. The ξx could be assumed independent and identically distributed or could be Gaussian with reasonable correlations. We study the large deviations of the sum

Type
General Applied Probability
Copyright
Copyright © Applied Probability Trust 2002 

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