Large Deviations of Functions of Markovian Transitions and Mathematical Programming Duality

Geung-Ho Kim; H. T. David

doi:10.1214/aop/1176994947

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Home > Journals > Ann. Probab. > Volume 7 > Issue 5 > Article

October, 1979 Large Deviations of Functions of Markovian Transitions and Mathematical Programming Duality

Geung-Ho Kim, H. T. David

Ann. Probab. 7(5): 874-881 (October, 1979). DOI: 10.1214/aop/1176994947

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Abstract

The duality-related point of view of Hoeffding for i.i.d. large deviations is extended to the Markov case. This reconciles Koopmans' "function-analytic" view of Markovian large deviations with Boza's "information theoretic" view, and extends the validity of the latter to the not-necessarily-finite case.

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Geung-Ho Kim. H. T. David. "Large Deviations of Functions of Markovian Transitions and Mathematical Programming Duality." Ann. Probab. 7 (5) 874 - 881, October, 1979. https://doi.org/10.1214/aop/1176994947

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Published: October, 1979

First available in Project Euclid: 19 April 2007

zbMATH: 0419.60023

MathSciNet: MR542138

Digital Object Identifier: 10.1214/aop/1176994947

Subjects:

Primary: 60F19

Secondary: 60J05

Keywords: Duality , Information , large deviations , Markov process , mathematical programming

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Ann. Probab.

Vol.7 • No. 5 • October, 1979

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Geung-Ho Kim, H. T. David "Large Deviations of Functions of Markovian Transitions and Mathematical Programming Duality," The Annals of Probability, Ann. Probab. 7(5), 874-881, (October, 1979)

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